scientific article; zbMATH DE number 1069596

zbMATH Open0879.62084MaRDI QIDQ4356557FDOQ4356557

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Publication date: 28 January 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

time seriesexponential familyARCH modelsnonlinear state space modelExpAR modelsstationary homogeneous diffusion process

Mathematics Subject Classification ID

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

Cited In (10)

• Possible origin of the non-linear long-term autocorrelations within the Gaussian regime
• Aligned signed-rank tests of a linear autoregressive model against an exponential autoregressive one
• Non-Gaussian autoregressive moving average processes.
• Generalized exponential autoregressive models for nonlinear time series: stationarity, estimation and applications
• Generation and analysis of non-Gaussian Markov time series
• An exponential autoregressive model for the forecasting of annual sunspots number
• Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis
• Title not available (Why is that?)
• Fitting EXPAR models through the extended Kalman filter
• Detecting exponential component in autoregressive models: comparative study between several tests of nonlinearity

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