Exponential models of Autoregressive Conditional Heteroscedasticity (ARCH) are of special interest, since they enable richer dynamics (e.g. contrarian or cyclical), provide greater robustness to jumps and outliers, and guarantee the positivity of volatility. The latter is not guaranteed in ordinary ARCH models, in particular when additional exogenous and/or predetermined variables (“X”) are inc...

Artificial neural networks and fuzzy systems, have gradually established themselves as a popular tool in approximating complicated nonlinear systems and time series forecasting. This paper investigates the hypothesis that the nonlinear mathematical models of multilayer perceptron and radial basis function neural networks and the Takagi–Sugeno (TS) fuzzy system are able to provide a more accurat...

In the next example, the signal vector randomization method (SVR1) as given in (9), the deterministic SVR method (SVR2) as given in (11), the frequency estimation method (TK) outlined in Section III, and the spatial smoothing methods are compared. All three sources are perfectly correlated, i.e., they have a zero relative phase angle at each iteration, e.g., multipath propagation where the path...