Invertibility of non-linear time series models

DOI10.1080/03610929508831644zbMATH Open0875.62422OpenAlexW2042128716MaRDI QIDQ4337095FDOQ4337095

Authors: Jan G. De Gooijer, Kurt Brännäs 

Publication date: 10 November 1997

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929508831644

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zbMATH Keywords

forecastingbilinear modeladditive smooth transition moving average modelasymmetric moving average modelself-exciting threshold moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• On the invertibility of time series models
• Title not available (Why is that?)
• On threshold moving-average models
• Title not available (Why is that?)
• Theory of Bilinear Time Series Models
• On the first-order bilinear time series model
• Stationarity and invertibility of simple bilinear models

Cited In (6)

• CHECKING STATIONARITY AND INVERTIBILITY IN TIME SERIES MODELS—FINDING THE INVERTIBLE FORM IN THE VECTOR CASE
• A note on the invertibility of nonlinear ARMA models
• Asymmetric vector moving average models: estimation and testing
• Title not available (Why is that?)
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• Title not available (Why is that?)

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