Modeling nonlinear processes with generalized autoregressions

DOI10.1016/0893-9659(90)90050-LzbMath0709.62082OpenAlexW2072886288MaRDI QIDQ921784

Stefan Mittnik

Publication date: 1990

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0893-9659(90)90050-l

zbMATH Keywords

time series datadifference-equation modelgeneralization of linear autoregressionsmodeling stochastic, nonlinear, dynamic-processesstate representation

Mathematics Subject Classification ID

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

Related Items (1)

Assessing DSGE model nonlinearities

Cites Work

• Unnamed Item
• Multivariate time series analysis with state space models
• Current developments in time series modelling
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model

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