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Nonlinear Time Series Models

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Non-Linear Time Series

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Abstract

Assume that for \(t \in \mathbb{Z}\), (Z t ) and \((Z_{t}^{{\ast}})\) are respectively uncorrelated and independent sequences of r.v’s having identical marginal distribution F(⋅ ), with zero mean and variance \(\sigma _{Z}^{2} <\infty\).

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Notes

  1. 1.

    A discrete counterpart of conventional segmented AR processes, based on the thinning operator in (1.5), was proposed by Kashikar et al. (2013).

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Authors and Affiliations

  1. Departmento de Estatística e Investigação Operacional, Faculdade de Ciências Universidade de Lisboa, Lisboa, Portugal

    Kamil Feridun Turkman & Patrícia de Zea Bermudez

  2. Departamento de Matemática, Universidade de Aveiro, Aveiro, Portugal

    Manuel González Scotto

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  1. Kamil Feridun Turkman
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  2. Manuel González Scotto
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  3. Patrícia de Zea Bermudez
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Turkman, K.F., Scotto, M.G., de Zea Bermudez, P. (2014). Nonlinear Time Series Models. In: Non-Linear Time Series. Springer, Cham. https://doi.org/10.1007/978-3-319-07028-5_2

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