Articles with "transition autoregressive" as a keyword



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Bayesian estimation and model selection of a multivariate smooth transition autoregressive model

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Published in 2019 at "Environmetrics"

DOI: 10.1002/env.2615

Abstract: The multivariate smooth transition autoregressive model with order k (M‐STAR)(k) is a nonlinear multivariate time series model able to capture regime changes in the conditional mean. The main aim of this paper is to develop… read more here.

Keywords: autoregressive model; transition autoregressive; smooth transition; transition ... See more keywords
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Smooth-transition autoregressive models for time series of bounded counts

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Published in 2021 at "Stochastic Models"

DOI: 10.1080/15326349.2021.1945934

Abstract: The binomial smooth-transition autoregressive (BSTAR) model is proposed as a non-linear model for time series of bounded counts. The BSTAR(1) model enhances the first-order binomial autoregressive ... read more here.

Keywords: smooth transition; transition autoregressive; time series; bounded counts ... See more keywords