Nonlinear modelling of periodic threshold autoregressions using Tsmars

DOI10.1111/1467-9892.00269zbMath1088.62110OpenAlexW3122271281MaRDI QIDQ5467627

Sophie Lambert-Lacroix, Serge Dégerine

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00269

zbMATH Keywords

spectrumautocovariance functionnonstationary processpartial autocorrelation function

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) General second-order stochastic processes (60G12)

Related Items (1)

Characterization of the partial autocorrelation function of nonstationary time series.

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