Regime-switching models of time series with cubic spline transition function in geodetic application
Tomáš Bognár; Jozef Komorník; Magda Komorníková
Kybernetika (2004)
- Volume: 40, Issue: 1, page [143]-150
- ISSN: 0023-5954
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topBognár, Tomáš, Komorník, Jozef, and Komorníková, Magda. "Regime-switching models of time series with cubic spline transition function in geodetic application." Kybernetika 40.1 (2004): [143]-150. <http://eudml.org/doc/33690>.
@article{Bognár2004,
abstract = {A new class of Smooth Transition Autoregressive models, based on cubic spline type transition functions, has been introduced and subjected to comparison with models based on the traditional logistic transition functions. A very high degree of similarity between the two model classes has been demonstrated. The new class of models can be slightly preferable because of its more simple formal and geometrical structure that may enable users more convenient manipulation in statistical inference procedures.},
author = {Bognár, Tomáš, Komorník, Jozef, Komorníková, Magda},
journal = {Kybernetika},
keywords = {time series; regime-switching autoregressive models; logistic and cubic-spline transition functions; regime-switching autoregressive models; logistic functions; cubic-spline transition functions},
language = {eng},
number = {1},
pages = {[143]-150},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Regime-switching models of time series with cubic spline transition function in geodetic application},
url = {http://eudml.org/doc/33690},
volume = {40},
year = {2004},
}
TY - JOUR
AU - Bognár, Tomáš
AU - Komorník, Jozef
AU - Komorníková, Magda
TI - Regime-switching models of time series with cubic spline transition function in geodetic application
JO - Kybernetika
PY - 2004
PB - Institute of Information Theory and Automation AS CR
VL - 40
IS - 1
SP - [143]
EP - 150
AB - A new class of Smooth Transition Autoregressive models, based on cubic spline type transition functions, has been introduced and subjected to comparison with models based on the traditional logistic transition functions. A very high degree of similarity between the two model classes has been demonstrated. The new class of models can be slightly preferable because of its more simple formal and geometrical structure that may enable users more convenient manipulation in statistical inference procedures.
LA - eng
KW - time series; regime-switching autoregressive models; logistic and cubic-spline transition functions; regime-switching autoregressive models; logistic functions; cubic-spline transition functions
UR - http://eudml.org/doc/33690
ER -
References
top- Franses P. H., Dijk D. van, Non-linear Time Series Models in Empirical Finance, Cambridge Univ. Press, Cambridge 2000
- Granger C. W. J., Teräsvirta T., Modelling Nonlinear Economic Relationships, Oxford Univ. Press, Oxford 1993 Zbl0893.90030
- Teräsvirta T., Specification, estimation and evaluation of smooth transition autoregressive models, J. Amer. Statist. Assoc. 89 (1994), 208–218 (1994)
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