Nonlinear Time Series Models and Model Selection

DOI10.1007/978-1-4614-8060-0_6zbMath1407.62307OpenAlexW179481829MaRDI QIDQ4561859

Ming Chien Lo, Yamin S. Ahmad

Publication date: 13 December 2018

Published in: Recent Advances in Estimating Nonlinear Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8060-0_6

zbMATH Keywords

Markov switchingnonlinear time series modelsnonlinear model selectionsmooth transition autoregressive models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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