On the Identifiability Conditions in Some Nonlinear Time Series Models

Autor:	Jungsik Noh, Sangyeol Lee
Jazyk:	angličtina
Rok vydání:	2016
Předmět:	identifiability nonlinear time series models GARCH-type models smooth transition GARCH models Poisson autoregressive models smooth transition autoregressive models Statistics HA1-4737 Probabilities. Mathematical statistics QA273-280
Zdroj:	Revstat Statistical Journal, Vol 14, Iss 4 (2016)
Druh dokumentu:	article
ISSN:	1645-6726 2183-0371
DOI:	10.57805/revstat.v14i4.195
Popis:	In this study, we consider the identifiability problem for nonlinear time series models. Special attention is paid to smooth transition GARCH, nonlinear Poisson autoregressive, and multiple regime smooth transition autoregressive models. Some sufficient conditions are obtained to establish the identifiability of these models.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/f8866548a5a34a20a0b3c39f4efb6b42 Zobrazit plný text záznamu View record in DOAJ