Chapter 10 Random Walk Smooth Transition Autoregressive Models

DOI10.1016/S0573-8555(05)76010-7zbMath1114.62083OpenAlexW1560552389MaRDI QIDQ5294110

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Publication date: 23 July 2007

Published in: Nonlinear Time Series Analysis of Business Cycles (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0573-8555(05)76010-7

zbMATH Keywords

Kalman filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

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