On geometric ergodicity and prediction in nonnegative non-linear autoregressive processes
Kybernetika (2004)
- Volume: 40, Issue: 6, page [691]-702
- ISSN: 0023-5954
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topZvára, Petr. "On geometric ergodicity and prediction in nonnegative non-linear autoregressive processes." Kybernetika 40.6 (2004): [691]-702. <http://eudml.org/doc/33729>.
@article{Zvára2004,
abstract = {A non-linear AR(1) process is investigated when the associated white noise is positive. A criterion is derived for the geometric ergodicity of the process. Some explicit formulas are derived for one and two steps ahead extrapolation. Influence of parameter estimation on extrapolation is studied.},
author = {Zvára, Petr},
journal = {Kybernetika},
keywords = {geometric ergodicity; non-linear autoregression; least squares extrapolation; least squares extrapolation},
language = {eng},
number = {6},
pages = {[691]-702},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On geometric ergodicity and prediction in nonnegative non-linear autoregressive processes},
url = {http://eudml.org/doc/33729},
volume = {40},
year = {2004},
}
TY - JOUR
AU - Zvára, Petr
TI - On geometric ergodicity and prediction in nonnegative non-linear autoregressive processes
JO - Kybernetika
PY - 2004
PB - Institute of Information Theory and Automation AS CR
VL - 40
IS - 6
SP - [691]
EP - 702
AB - A non-linear AR(1) process is investigated when the associated white noise is positive. A criterion is derived for the geometric ergodicity of the process. Some explicit formulas are derived for one and two steps ahead extrapolation. Influence of parameter estimation on extrapolation is studied.
LA - eng
KW - geometric ergodicity; non-linear autoregression; least squares extrapolation; least squares extrapolation
UR - http://eudml.org/doc/33729
ER -
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