scientific article
From MaRDI portal
zbMath0716.62085MaRDI QIDQ3999154
Publication date: 17 September 1992
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
dynamical systemsmodel selectionlimit cycleergodicityLyapunov exponentsstochastic stabilityARCH modelsstationary processesthreshold modelsnonlinear difference equationsdiagnosticsARMA modelsexercisesstationary distributionsnonlinear time series modelsrandom coefficient autoregressive modelsconditional densitiessunspot numbersnonlinear autoregressioncase studiesdoubly stochastic modelsCanadian lynx datalinear Gaussian modelsbilinear modelsdependence on initial valuesMarkovian representationmartingale limit theoryexponential autoregressive modelstests for linearityfractional autoregressive modelsNonlinear least-squares predictionnonlinear MA modelsproduct autoregressive models
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Characteristic and Lyapunov exponents of ordinary differential equations (34D08)
Related Items
Renewal regime switching and stable limit laws, Factor-driven two-regime regression, Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness, Variable selection in generalized random coefficient autoregressive models, A unified approach to nonlinearity, structural change, and outliers, A versatile and robust metric entropy test of time-reversibility, and other hypotheses, A unified approach to self-normalized block sampling, Contemporaneous threshold autoregressive models: estimation, testing and forecasting, A smoothed least squares estimator for threshold regression models, Local linear quantile estimation for nonstationary time series, Recursive estimation of time-average variance constants, Semiparametric estimation of a binary response model with a change-point due to a covariate threshold, Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root, Nonlinear models for strongly dependent processes with financial applications, An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals, Self-normalized Cramér-type moderate deviations under dependence, Estimation of semivarying coefficient time series models with ARMA errors, Modeling default data via an interactive hidden Markov model, Nonlinear dynamical system identification with dynamic noise and observational noise, Dynamic panels with threshold effect and endogeneity, A self-exciting threshold jump-diffusion model for option valuation, An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models, A threshold cointegration test with increased power, Detecting chaos requires careful analysis of nearly periodic data, Nonlinear and chaotic analysis of a financial complex system, Kernel estimation for time series: an asymptotic theory, Bayesian prediction in threshold autoregressive models with exponential white noise, Asymptotic theory for curve-crossing analysis, Functional index coefficient models with variable selection, LASSO estimation of threshold autoregressive models, Asymptotic inference in multiple-threshold double autoregressive models, Quasi-likelihood estimation of a threshold diffusion process, Threshold models in time series analysis -- some reflections, Simultaneous bootstrap for all three parameters in random coefficient autoregressive models, A general science-based framework for dynamical spatio-temporal models, Strong consistency of the distribution estimator in the nonlinear autoregressive time series, Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends, Variance estimation in nonlinear autoregressive time series models, On parameter estimation of threshold autoregressive models, Error covariance matrix correction based approach to functional coefficient regression models with generated covariates, A self-organizing state space model and simplex initial distribution search, On moving-average models with feedback, From general state-space to VARMAX models, On identification of the threshold diffusion processes, Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence, Multivariate generalized Ornstein-Uhlenbeck processes, Estimating structural VARMA models with uncorrelated but non-independent error terms, Recent progress in discrete population dynamics, Feature matching in time series modeling, Multi-step forecasts from threshold ARMA models using asymmetric loss functions, Markov chain approach to identifying Wiener systems, A semiparametric method for estimating nonlinear autoregressive model with dependent errors, Change-point analysis in increasing dimension, Covariance matrix estimation for stationary time series, The second-order bias and mean squared error of estimators in time-series models, A confidence interval test for the detection of structural breaks, Asymptotics for a class of generalized multicast autoregressive processes, Regime-switching risk: to price or not to price?, Nonparametric approach to identifying NARX systems, On filtering and estimation of a threshold stochastic volatility model, Weak convergence of the sequential empirical processes of residuals in TAR models, Consistency of kernel density estimators for causal processes, A location-mixture autoregressive model for online forecasting of lung tumor motion, Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models, Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach, Estimation and testing linearity for non-linear mixed Poisson autoregressions, A flexible semiparametric forecasting model for time series, Adaptive estimation of the threshold point in threshold regression, Comparison study of AR models on the Canadian lynx data: A close look at BDS statistic, Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient, Testing nonlinear Markovian hypotheses in dynamical systems, On nonergodicity for nonparametric autoregressive models, Fitting a two phase threshold multiplicative error model, Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models, Time series prediction based on data compression methods, Stochastic versions of chaotic time series: Generalized logistic and Hénon time series models, On the central limit theorem for an ergodic Markov chain, Random walk or chaos: a formal test on the Lyapunov exponent, On some properties of Markov chain Monte Carlo simulation methods based on the particle filter, Estimation in threshold autoregressive models with a stationary and a unit root regime, A simple additivity test for conditionally heteroscedastic nonlinear autoregression, A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations, Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model, Checking nonlinear heteroscedastic time series models, Testing Linearity for Network Autoregressive Models, Hellinger distance estimation of general bilinear time series models, Estimation of a multiple-threshold \(AR(p)\) model, Forecasting with univariate TAR models, Order selection in nonlinear time series models with application to the study of cell memory, Estimating linear representations of nonlinear processes, Multivariate contemporaneous-threshold autoregressive models, A bootstrap-assisted spectral test of white noise under unknown dependence, Nonparametric model validations for hidden Markov models with applications in financial econometrics, On the least squares estimation of multiple-regime threshold autoregressive models, Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation, Functional coefficient seasonal time series models with an application of Hawaii tourism data, Central limit theorem for quadratic errors of Nadaraya-Watson regression estimator under dependence, Variance decompositions of nonlinear time series using stochastic simulation and sensitivity analysis, Subsampling inference in threshold autoregressive models, Testing for a linear MA model against threshold MA models, The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors, On inference for threshold autoregressive models., Extremal behavior of the autoregressive process with ARCH(1) errors, Stability of nonlinear AR(1) time series with delay, Sequential point estimation of parameters in a threshold AR(1) model, Strong convergence of estimators in nonlinear autoregressive models, On data transformations and evidence of nonlinearity., Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets, M-estimates of autoregression with random coefficients, The limiting behavior of least absolute deviation estimators for threshold autoregressive models, On weighted \(U\)-statistics for stationary processes., Self-exciting threshold binomial autoregressive processes, Strong approximation for RCA(1) time series with applications, Consistent nonlinear dynamics: identifying model inadequacy, Optimal embedding parameters: a modelling paradigm, On the approximation of continuous time threshold ARMA processes, A higher-order interactive hidden Markov model and its applications, Asymptotic inference for dynamical systems observed with error, Nonlinear AR modeling, Gradient-based structural change detection for nonstationary time series M-estimation, Asymmetries and Markov-switching structural VAR, Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis, State space modeling of Gegenbauer processes with long memory, Generalized autoregression and the analysis of dynamical processes, A network of autoregressive processing units for time series modeling, Detecting nonlinearities in neuro-electrical signals: A study of synchronous local field potentials, Parameter uncertainty and impulse response analysis, Cost-sensitive estimation of ARMA models for financial asset return data, Constrained-realization Monte-Carlo method for hypothesis testing, Forecasting the underlying potential governing the time series of a dynamical system, On forecasting SETAR processes, Nonlinear Poisson autoregression, A Bayesian conditional autoregressive geometric process model for range data, Bayesian multi-regime smooth transition regression with ordered categorical variables, Tests for time reversibility: a complementarity analysis, A consistent nonparametric test for linearity of \(\text{AR} (p)\) models, Statistical inference for generalized random coefficient autoregressive model, A floor and ceiling model of US output, Detection of additive outliers in bilinear time series, Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares, Estimating deterministically time-varying variances in regression models, An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models, Tapered block bootstrap for unit root testing, Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation, Temporal clustering of time series via threshold autoregressive models: application to commodity prices, A Bayesian nonparametric Markovian model for non-stationary time series, Nonlinear, non-invasive method for seizure anticipation in focal epilepsy, Nonlinear stochastic inflation modelling using SEASETARs., Gaussian copula marginal regression, Simulation analysis of threshold autoregressive unit root tests, A trend-switching financial time series model with level-duration dependence, Optimal estimates for the operating parameters of an information web portal, Forecasting with computer-evolved model specifications: A genetic programming application., Hellinger distance estimation of nonlinear dynamical systems., Threshold variable selection by wavelets in open-loop threshold autoregressive models, Subtle bifurcation in the vibration of a system with an interface nonlinearity, Data dimensionality estimation methods: A survey., Recurrence plots revisited, Integration by parts and martingale representation for a Markov chain, Detecting nonlinearity in multivariate time series, On probabilistic properties of nonlinear \(\text{ARMA}(p,q)\) models, Testing time reversibility without moment restrictions, Diagnostic check for heavy tail in linear time series, An estimator for parameters of a nonlinear nonnegative multidimensional AR(1) process, Factor models for matrix-valued high-dimensional time series, Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions, Robust inference for threshold regression models, Sieve empirical likelihood ratio tests for nonparametric functions, A nonlinear time series approach to modelling asymmetry in stock market indexes, Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models, Stability and the Lyapounov exponent of threshold AR-ARCH models, Test for parameter change in stochastic processes based on conditional least-squares estimator, Asymptotic optimal inference for a class of nonlinear time series models, The probabilistic properties of the nonlinear autoregressive model with conditional heteroskedasticity, Nonparametric model checks for time series, A Bayesian analysis of generalized threshold autoregressive models, Testing for ARCH in the presence of a possibly misspecified conditional mean, An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models., The sequential estimation in stochastic regression model with random coefficients, Dynamical systems identification from time-series data: A Hankel matrix approach, Intrinsic chaos and external noise in population dynamics, On geometric ergodicity of the MTAR process, Nonlinear impulse response functions, A mixed-type test for linearity in time series, On selecting models for nonlinear time series, The effects of temporal aggregation on tests of linearity of a time series., Detecting and evaluating intrinsic nonlinearity present in the mutual dependence between two variables, Can nonlinear time series models generate US business cycle asymmetric shape?, Statistical analysis of Lyapunov exponents from time series: a Jacobian approach., Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes., Uses of entropy and divergence measures for evaluating econometric approximations and infer\-ence., Misspecified structural change, threshold, and Markov-switching models., A nonlinear long memory model, with an application to US unemployment., Estimation and model selection based inference in single and multiple threshold models., Model specification tests in nonparametric stochastic regression models, Nonlinear time series analysis since 1990: Some personal reflections, The local bootstrap for Markov processes, Modelling the dynamics of nonlinear time series using canonical variate analysis, Chaos and asymptotical stability in discrete-time recurrent neural networks with generalized input-output function, Establishing geometric drift via the Laplace transform of symmetric measures, Asymptotic distributions of the correlation integral based statistics, Markov Chain Markov Field dynamics: Models and statistics, Unnamed Item, Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs, A Sequential and Iterative Testing Procedure to Identify the Nature of a Time Series Generating Process, Geometric ergodicity of nonlinear autoregressive models with changing conditional variances, Using Image and Curve Registration for Measuring the Goodness of Fit of Spatial and Temporal Predictions, Projected polynomial autoregression for prediction of stationary time series, Local asymptotic normality for multivariate nonlinear AR processes, LONG-RUN OPTIMAL BEHAVIOR IN A TWO-SECTOR ROBINSON–SOLOW–SRINIVASAN MODEL, A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models, Stability conditions for a bivariate arch system which is cointegrated in mean, Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling, Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications, Cascade non-linear system identification by a non-parametric method, Integer-Valued Self-Exciting Threshold Autoregressive Processes, Nonlinear Dynamics of Trajectories Generated by Fully-Stretching Piecewise Linear Maps, The Asymptotic Behavior of INAR (p) Models, Testing for parameter stability in nonlinear autoregressive models, Measuring nonlinear dependence in time-series, a distance correlation approach, Estimation of regression and dynamic dependence paremeters for non-stationary multinomial time series, A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis, COHERENT SYNCHRONIZATION IN LINEARLY COUPLED NONLINEAR SYSTEMS, Optimal Detection of Exponential Component in Autoregressive Models, Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models, Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model, Double threshold autoregressive conditionally heteroscedastic model building by genetic algorithms, An elementary approach to dynamics and bifurcations of skew tent maps, Asymptotic properties of some estimators for partly linear stationary autoregressive models, Testing for cointegration with threshold adjustment in the presence of structural breaks, A threshold mixed count time series model: estimation and application, State-domain change point detection for nonlinear time series regression, Dynamics between the budget deficit and the government debt in the United States: a nonlinear analysis, The non-linear effects of the Fed asset purchases, Bayesian Inference and Forecasting in Dynamic Neural Networks with Fully Markov Switching ARCH Noises, Asymptotic estimation of a non-linear infinite filter. application to the estimation of volterra series, Nonlinear transfer functions, Cross-validation of covariance structures using the frobenius matrix distance as a discrepancy function, Degeneracy of time series models: The best model is not always the correct model, On extrapolation in some non-linear ar(1) processes, Nuisance parameter free properties of correlation integral based statistics, Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series, Bootstrapping Threshold Autoregressive Models, Assessing Time-Reversibility Under Minimal Assumptions, Nonlinear ARMA models with functional MA coefficients, Dynamical properties of maps fitted to data in the noise-free limit, THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1, THE IMPACT OF AGE-, SPACE-AND STOCHASTIC-STRUCTURE ON THE EXTINCTION PROBABILITY OF A CHINOOK SALMON METAPOPULATION, Identification of TAR models using recursive estimation, Fuzzy Autoregressive Rules: Towards Linguistic Time Series Modeling, Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class, Single-index coefficient models for nonlinear time series, A nonparametric statistical approach in noisy chaos identification, COMPLEX DYNAMICAL BEHAVIORS IN DISCRETE-TIME RECURRENT NEURAL NETWORKS WITH ASYMMETRIC CONNECTION MATRIX, SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL, NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION, ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES, BL-GARCH models with elliptical distributed innovations, Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models, International Business Cycle Asymmetry and Time Irreversible Nonlinearities, How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?, Nonlinearity tests in time series analysis, Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models, Threshold Vector Arma Models, Duration time-series models with proportional hazard, Generalised kernel smoothing for non-negative stationary ergodic processes, A New Bispectral Test for NonLinear Serial Dependence, Non parametric portmanteau tests for detecting non linearities in high dimensions, Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold, Selecting nonlinear time series models using information criteria, Bartlett's formula for a general class of nonlinear processes, On an independent and identically distributed mixture bilinear time-series model, Modelling long-term investment returns via Bayesian infinite mixture time series models, Test for periodicity in restrictive EXPAR models, NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES, Forecasting time-varying covariance with a robust Bayesian threshold model, Conditional inference in linear versus nonlinear models for binary time series, Forecast accuracy and effort: The case of US inflation rates, Statistical Properties of Threshold Models, A Bayesian nonlinearity test for threshold moving average models, A Multivariate Threshold Varying Conditional Correlations Model, Bayesian analysis of threshold autoregressions, NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY, Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models, Coexistence of Anti-Phase and Complete Synchronization in a Chaotic Finance System, Bootstrap-based evaluation of markov-switching time series models, Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes, Testing linearity against nonlinear moving average models, A sequential procedure for determining the number of regimes in a threshold autoregressive model, The power of unit root tests against nonlinear local alternatives, Estimation of Periodic Bilinear Time Series Models, On testing for independence between the innovations of several time series, Smoothing for Spatiotemporal Models and Its Application to Modeling Muskrat‐Mink Interaction, Testing for Common Structures in a Panel of Threshold Models, Adaptive parameter estimation in self-exciting threshold autoregressive models, Basket trading under co-integration with the logistic mixture autoregressive model, Estimation in Random Coefficient Autoregressive Models, Bayesian Model Uncertainty In Smooth Transition Autoregressions, Structural Laplace Transform and Compound Autoregressive Models, Inversion of non-linear stochastic models for the purpose of parameter estimation, Bayesian analysis of multiple thresholds autoregressive model, Coarse-grained embeddings of time series: Random walks, Gaussian random processes, and deterministic chaos, Parameter estimation in a regression model with random coefficient autoregressive errors, Inference and model selection in general causal time series with exogenous covariates, Hidden Markov models with threshold effects and their applications to oil price forecasting, Rank determination in tensor factor model, Consistent estimation of a general nonparametric regression function in time series, Density estimation for nonlinear parametric models with conditional heteroscedasticity, A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations, Spatial quantile estimation of multivariate threshold time series models, Improved model selection criteria for SETAR time series models, Bayesian analysis of mixture autoregressive models covering the complete parameter space, Functional coefficient autoregressive conditional root model, Unit root testing in presence of a double threshold process, A new nonlinearity test to circumvent the limitation of Volterra expansion with application, Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes, A geometric analysis of time series leading to information encoding and a new entropy measure, An empirical study on the parsimony and descriptive power of TARMA models, Frequentist model averaging for threshold models, Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models, An analog of Bickel-Rosenblatt test for fitting an error density in the two phase linear regression model, Information quantity evaluation of nonlinear time series processes and applications, Generalized exponential autoregressive models for nonlinear time series: stationarity, estimation and applications, Estimation in a class of nonlinear heteroscedastic time series models, Testing for co-nonlinearity, Information criteria for nonlinear time series models, Time-varying persistence of inflation: evidence from a wavelet-based approach, Generating prediction bands for path forecasts from SETAR models, A hidden Markov regime-switching smooth transition model, Confidence intervals of variance functions in generalized linear model, A distance-based test of independence between two multivariate time series, Empirical likelihood-based subset selection for partially linear autoregressive models, A Darling-Erdős type result for stationary ellipsoids, Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression, Non-linear time series clustering based on non-parametric forecast densities, An alternative approach to the modelling of interest rate pass through and asymmetric adjustment, Komlós-Major-Tusnády approximation under dependence, Self-excited hysteretic negative binomial autoregression, Asymptotic spectral theory for nonlinear time series, Smooth transition autoregressive models and fuzzy rule-based systems: Functional equivalence and consequences, Strong invariance principles for dependent random variables, Time-varying instrumental variable estimation, Bringing consistency to simulation of population models -- Poisson simulation as a bridge between micro and macro simulation, Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process, On the dynamics of a deterministic and stochastic model for mosquito control, Asymptotic properties of conditional least-squares estimators for array time series, Estimating FARIMA models with uncorrelated but non-independent error terms, Local prediction of nonlinear time series using support vector regression, A model-free consistent test for structural change in regression possibly with endogeneity, Generalized threshold latent variable model, Functional-coefficient partially linear regression model, Outliers in functional autoregressive time series, Threshold variable selection of asymmetric stochastic volatility models, On linear processes with dependent innovations, Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors, Approximate maximum likelihood estimation of a threshold diffusion process, Nonparametric threshold model of~zero-inflated spatio-temporal data with~application to shifts in jellyfish distribution, SETAR model selection -- a bootstrap approach, Tail behavior of a threshold autoregressive stochastic volatility model, Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models, The moments of SETARMA models, Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK, A B-spline approach for empirical mode decompositions, A self-adaptive neural fuzzy network with group-based symbiotic evolution and its prediction applications, Estimation of semi-parametric additive coefficient model, Testing for parameter stability in \(RCA(1)\) time series, Measuring statistical dependences in a time series, Stochastic analogues of deterministic single-species population models, Accounting seasonal nonstationarity in time series models for short-term ozone level forecast, Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models, Multi-regime models for nonlinear nonstationary time series, Bayesian subset selection for threshold autoregressive moving-average models, Detecting and modeling nonlinearity in the gas furnace data, Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model, Chasing volatility. A persistent multiplicative error model with jumps, The behavior of divorce rates: a smooth transition regression approach, Tribal particle swarm optimization for neurofuzzy inference systems and its prediction applications, Parsimonious periodic autoregressive models for time series with evolving trend and seasonality, Threshold factor models for high-dimensional time series, Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis, Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors, Local stationarity and time-inhomogeneous Markov chains, Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables, Nonlinear time series clustering based on Kolmogorov-Smirnov 2D statistic, Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model, Wilks' theorem for semiparametric regressions with weakly dependent data, Assessing transfer functions in control systems, Maximum likelihood estimation of diffusions by continuous time Markov chain, Efficient estimation in smooth threshold autoregressive(1) models, Characterizing nonlinearity in invasive EEG recordings from temporal lobe epilepsy, Keynesian dynamics and the wage-price spiral: identifying downward rigidities, Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data, On testing for nonlinearity in multivariate time series, Non-homogeneous hidden Markov-switching models for wind time series, Modeling population dynamics: a quantile approach, Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations, Conditional rotation between forecasting models, Spline estimation and variable selection for single-index prediction models with diverging number of index parameters, High dimensional generalized linear models for temporal dependent data, Quadratic random coefficient autoregression with linear-in-parameters volatility, Large sample inference for conditional exponential families with applications to nonlinear time series, On continuous-time threshold ARMA processes, Nonparametric time series regression, Measuring spatial spreading in recurrent time series, Bayesian estimation and forecasting in nonlinear models. Application to an LSTAR model, On geometric ergodicity of nonlinear autoregressive models, Semiparametric approximation methods in multivariate model selection, The MIN PFS problem and piecewise linear model estimation, Looking for evidence of speculative stockholding in commodity markets, A new preliminary estimator for MA(1) models, Chaos and asymptotical stability in discrete-time neural networks, The geometric ergodicity and existence of moments for a class of nonlinear time series model, A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model, \(M\)-type regression splines involving time series, Optimal transformations and the spectral envelope for real-valued time series, A note on the ergodicity of nonlinear autoregressive model, On least-squares and naïve extrapolations in a nonlinear \(AR(1)\) process, On a threshold autoregression with conditional heteroscedastic variances, Geometric ergodicity of a general ARCH type model, Simulation of a stationary autoregression: A characterization of the normal distribution, Identification of deterministic chaos by an information-theoretic measure of the sensitive dependence on the initial conditions, Regularized local linear prediction of chaotic time series, Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series, Testing multiple equation systems for common nonlinear components, The local asymptotic normality of a class of generalized random coefficient autoregressive processes, Power of the Lagrange multiplier test for certain subdiagonal bilinear models, Minimum distance estimators for random coefficient autoregressive models, Testing the adequacy of smooth transition autoregressive models, Impulse response analysis in nonlinear multivariate models, Nonlinear interest rate dynamics and implications for the terms structure, A non-linear error correction mechanism based on the bilinear model, Threshold effect test in censored quantile regression, Oscillations and moduli of continuity of kernel density estimators under dependence, Diagnostic checking of multivariate nonlinear time series models with martingale difference errors, Confidence bands in nonparametric time series regression, A model of financial market dynamics with heterogeneous beliefs and state-dependent confidence, Heteroscedastic mixture transition distribution (HMTD) model, Stochastic equilibrium: Learning by exponential smoothing, Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results, A robust rational route to randomness in a simple asset pricing model, Testing for sign and amplitude asymmetries using threshold autoregressions, Fitting piecewise linear threshold autoregressive models by means of genetic algorithms, On martingale approximations, Functional coefficient autoregressive models for vector time series, A double-threshold GARCH model of stock market and currency shocks on stock returns, Boosting nonlinear additive autoregressive time series, A note on the geometric ergodicity of a nonlinear AR-ARCH model, Penalized spline estimation for functional coefficient regression models, A mixture integer-valued ARCH model, Some analysis of the long-run time series properties of consumption and income in the U.K, Weakly dependent functional data, Parametric and nonparametric models and methods in financial econometrics, Modeling structural breaks in economic relationships using large shocks, Nonlinear time-varying spectral analysis: HHT and MODWPT, A note on the invertibility of nonlinear ARMA models, Non-stationary structural model with time-varying demand elasticities, Identification and prediction of low dimensional dynamics, Testing for nonlinearity in time series: the method of surrogate data, Problems in estimating dynamics from data, Analysis of noisy signals, Some comments on a bridge between nonlinear dynamicists and statisticians, \(M\)-estimation of linear models with dependent errors, Bootstrap inference in local polynomial regression of time series, Strong approximation for a class of stationary processes, An asymptotic theory for sample covariances of Bernoulli shifts, Local power of a Cramér-von Mises type test for parametric autoregressive models of order one, Proportional functional coefficient time series models, A simple multivariate ARCH model specified by random coefficients, Comparison of nonnested asymmetric heteroskedastic models, Testing the martingale difference hypothesis using integrated regression functions, Periodic stationarity of random coefficient periodic autoregressions, Asymptotic results for the empirical process of stationary sequences, Forecasting nonlinear time series with neural network sieve bootstrap, On the geometrical convergence of Gibbs sampler in \(\mathbb R^d\), Absorption of shocks in nonlinear autoregressive models, A consistent nonparametric Bayesian procedure for estimating autoregressive conditional den\-sities, Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process, Forecasting time series using principal component analysis with respect to instrumental variables, Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models, Estimation of autoregressive models with epsilon-skew-normal innovations, A test of conditional heteroscedasticity in time series, Corrected confidence intervals for parameters in adaptive linear models, A comparison between neural networks and chaotic models for exchange rate prediction., Testing linearity for NARX models, Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach, Specification testing in nonlinear and nonstationary time series autoregression, The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series, Coefficient constancy test in a random coefficient autoregressive model, Testing time series linearity via goodness-of-fit methods, On maximum likelihood estimators for a threshold autoregression, The exact quasi-likelihood of time-dependent ARMA models, Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence, Parameter estimation for generalized random coefficient autoregressive processes, The existence of moments of nonlinear autoregressive model, Verifying irreducibility and continuity of a nonlinear time series, Population models with environmental stochasticity, Large sample inference based on multiple observations from nonlinear autoregressive processes, Identification environment and robust forecasting for nonlinear time series, Local scale models. State space alternative to integraded GARCH processes, On some entropy methods in data analysis, Nonlinear Spectral Analysis: A Local Gaussian Approach, Markow chain markov field dynamics:models and statistics, Oracle Estimation of a Change Point in High-Dimensional Quantile Regression, Nonlinear Time Series Models and Model Selection, A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models, On the Concept of Endogenous Volatility, DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS, LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE, AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM, Instability in regime switching models, Testing for random coefficient autoregressive and stochastic unit root models, Statistical analysis of the non-stationary binomial AR(1) model with change point, Count Time Series: A Methodological Review, Aligned signed-rank tests of a linear autoregressive model against an exponential autoregressive one, Epicasting: an ensemble wavelet neural network for forecasting epidemics, Estimating weak periodic vector autoregressive time series, Bayesian inference for a mixture double autoregressive model, Generalized varying-coefficient additive model for locally stationary time series, Testing for Threshold Effects in the TARMA Framework, Double smoothing local linear estimation in nonlinear time series, Time-varying multivariate causal processes, Bayesian nonparametric density autoregression with lag selection, Correlation integral for stationary Gaussian time series, A copula spectral test for pairwise time reversibility, Peaks, gaps, and time‐reversibility of economic time series, Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test, Some recent trends in embeddings of time series and dynamic networks, Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations, Spline estimation of partially linear regression models for time series with correlated errors, European option pricing with market frictions, regime switches and model uncertainty, A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection, ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES, Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms, Metalearning of time series: an approximate dynamic programming approach, Linear approximation of the threshold autoregressive model: an application to order estimation, Estimation of generalized threshold autoregressive models, Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors, Efficient estimation in semiparametric self-exciting threshold INAR processes, Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations, A threshold stochastic volatility model with explanatory variables, On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models, The validity of bootstrap testing for threshold autoregression, Factor Models for High-Dimensional Tensor Time Series, Threshold negative binomial autoregressive model, The table auto-regressive moving-average model for (categorical) stationary series: statistical properties (causality; from the all random to the conditional random), Unnamed Item, Unnamed Item, Functional‐coefficient models under unit root behaviour, Improving prediction models applied in systems monitoring natural hazards and machinery, Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use, BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS, Threshold heteroskedastic models, Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models, Average regression surface for dependent data, THE DYNAMICS AND STATISTICS OF BIVARIATE CHAOTIC MAPS IN COMMUNICATIONS MODELING, Combining Forecasts via Simulations, Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model, On a class of stable random dynamical systems: Theory and applications, Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors, \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term., Bayesian Identification of Moving Average Models, Amplitude modulated model for analyzing non-stationary speech signals, Methods for calculating stationary distribution in linear models of time series, Estimation and Testing Stationarity for Double-Autoregressive Models, The Lasso for High Dimensional Regression with a Possible Change Point, A chaotic attractor in ecology: Theory and experimental data, Control, synchrony and the persistence of chaotic populations, Special issue: Chaos in ecology, MAKING A DISCRETE DYNAMICAL SYSTEM CHAOTIC: THEORETICAL RESULTS AND NUMERICAL SIMULATIONS, A generalization of some classical time series tools, Genetically evolved models and normality of their fitted residuals, An invariant sign test for random walks based on recursive median adjustment, Size distortion of asymmetric unit root tests in the presence of level shifts, A nonlinear autoregressive conditional duration model with applications to financial transaction data, Time-series forecasting using GA-tuned radial basis functions, Bayesian selection of threshold autoregressive models, Markov chain Monte Carlo estimation of nonlinear dynamics from time series, Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity, Threshold \(\text{Arch}(1)\) processes: Asymptotic inference, Hellinger distance estimation of SSAR models, Diagnostic test for unstable autoregressive models, State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications, Finitary reconstruction of a measure preserving transformation, The impact of bootstrap methods on time series analysis, Exponential decay of correlations for a real-valued dynamical system embedded in \(\mathbb{R}^2\), How can we Define the Concept of Long Memory? An Econometric Survey, Estimation of Nonparametric Autoregressive Time Series Models Under Dynamical Constraints, Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes, LOCAL ANALYSIS OF DISSIPATIVE DYNAMICAL SYSTEMS, A simple integer-valued bilinear time series model, Unit root tests in three‐regime SETAR models, Bispectral-Based Goodness-of-Fit Tests of Gaussianity and Linearity of Stationary Time Series, Polynomial nonlinear spatio‐temporal integro‐difference equation models, Portmanteau tests for linearity of stationary time series, Smooth coefficient models with endogenous environmental variables, On the invertibility of EGARCH(p, q), Inference of the Trend in a Partially Linear Model with Locally Stationary Regressors, Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model, Generalized Additive Models for Location, Scale and Shape, Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study, ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS, A Statistical Method for the Determination of the Appropriate Order in a General Class of Time Series Models, Optimal rank-based detection of exponential component in autoregressive models, Entropy inference in smooth transition kink regression, Statistical inference for varying-coefficient models with error-prone covariates, Unnamed Item, Dimension reduction transfer function model, The marginal distribution function of threshold-type processes with central symmetric innovations, Periodic autoregressive models for time series with integrated seasonality, Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach, SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS, Limit theorems for iterated random functions, Fourier transforms of stationary processes, Multivariate Hysteretic Autoregressive Models, Power periodic threshold GARCH model: Structure and estimation, Law of the iterated logarithm for error density estimators in nonlinear autoregressive models, Distribution of the estimated lyapunov exponents from noisy chaotic time series, The Cusum Test for Parameter Change in Time Series Models, Extremes of autoregressive threshold processes, PIGGYBACKING THRESHOLD PROCESSES WITH A FINITE STATE MARKOV CHAIN, Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models, Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution, Time-Deformation Modeling of Stock Returns Directed by Duration Processes, Consistent GMM Residuals-Based Tests of Functional Form, ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION, Detecting exponential component in autoregressive models: comparative study between several tests of nonlinearity, Simulation and application of subsampling for threshold autoregressive moving-average models, Heteroscedasticity and Autocorrelation Robust Structural Change Detection, Estimation in periodic restricted EXPAR(1) models, Bootstrap confidence intervals for conditional density function in Markov processes, Normality tests for dependent data: large-sample and bootstrap approaches, Unnamed Item, Nonlinear least squares estimation of the periodic EXPAR(1) model, A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION, Asymptotic behaviour of nonparametric conditional quantile estimates for time series, On hysteretic vector autoregressive model with applications, Bootstrap-assisted tests of symmetry for dependent data, On the identification problem for bilinear time series models, Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models, On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One, The Marginal Density of a TMA(1) Process, Unnamed Item, Comparison of non-parametric and semi-parametric tests in detecting long memory, Optimized adaptive prediction, Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes, Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach, Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations, Option Pricing with Threshold Diffusion Processes, Nonlinearity testing and modeling for threshold moving average models, Time Series Decomposition into Oscillation Components and Phase Estimation, Multivariate Time Series Decomposition into Oscillation Components, On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes, Optimal Gaussian Approximation For Multiple Time Series, A Portmanteau Test for Smooth Transition Autoregressive Models, Adding flexibility to Markov Switching models, SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL, Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models, A new Bayesian approach to quantile autoregressive time series model estimation and forecasting, Editorial: Special issue on time series analysis in the biological sciences, Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series, Using the Reversible Jump MCMC Procedure for Identifying and Estimating Univariate TAR Models, A test of linearity against functional coefficient autoregressive models, Performance of control charts for autoregressive conditional heteroscedastic processes, Unnamed Item, Bayesian Subset Model Selection for Time Series, Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach, Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching, A monte carlo investigation of the BDS statistic, Second-order analysis of regret for sequential estimation of the autoregressive parameter in a first-order autoregressive model, Multivariate arma models with generalized autoregressive linear innovation, Time series modeling and decomposition, Thinning-based models in the analysis of integer-valued time series: a review, Unnamed Item, Bootstrap order selection for SETAR models, Self-Excited Threshold Poisson Autoregression, Regression Models for Ordinal Categorical Time Series Data, Identification of Threshold Autoregressive Moving Average Models, Time-varying multi-regime models fitting by genetic algorithms, Threshold quantile autoregressive models, Unnamed Item, On a continuous time stock price model with regime switching, delay, and threshold, Discrete Langevin-type equation for p-order persistent time series and procedure of its reconstruction, “Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007
