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