Functional Coefficient Autoregressive Models: Estimation and Tests of Hypotheses
نویسندگان
چکیده
منابع مشابه
Functional Coefficient Autoregressive Models: Estimation and Tests of Hypotheses
In this paper, we study nonparametric estimation and hypothesis testing procedures for the functional coef®cient AR (FAR) models of the form Xt f1(X tÿd)X tÿ1 f p(X tÿd)X tÿ p å t, ®rst proposed by Chen and Tsay (1993). As a direct generalization of the linear AR model, the FAR model is a rich class of models that includes many useful parametric nonlinear time series models such as the ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2001
ISSN: 0143-9782,1467-9892
DOI: 10.1111/1467-9892.00217