Invertibility of non-linear time series models

DOI10.1080/03610929508831644zbMath0875.62422OpenAlexW2042128716MaRDI QIDQ4337095

Jan G. De Gooijer, Kurt Brännäs

Publication date: 10 November 1997

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929508831644

zbMATH Keywords

forecastingbilinear modeladditive smooth transition moving average modelasymmetric moving average modelself-exciting threshold moving average model

Mathematics Subject Classification ID

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

Related Items (2)

A note on the invertibility of nonlinear ARMA models ⋮ Asymmetric vector moving average models: estimation and testing

Cites Work

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• Stationarity and invertibility of simple bilinear models
• On the invertibility of time series models
• Theory of Bilinear Time Series Models
• On threshold moving-average models
• On the first-order bilinear time series model

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