On the Identifiability Conditions in Some Nonlinear Time Series Models
oleh: Jungsik Noh, Sangyeol Lee
| Format: | Article |
|---|---|
| Diterbitkan: | Instituto Nacional de EstatÃstica | Statistics Portugal 2016-10-01 |
Deskripsi
In this study, we consider the identifiability problem for nonlinear time series models. Special attention is paid to smooth transition GARCH, nonlinear Poisson autoregressive, and multiple regime smooth transition autoregressive models. Some sufficient conditions are obtained to establish the identifiability of these models.