Displaying similar documents to “Test of linear hypothesis in multivariate models”

Multivariate smooth transition AR model with aggregation operators and application to exchange rates

Tomáš Bacigál (2007)

Kybernetika

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An overview of multivariate modelling based on logistic and exponential smooth transition models with transition variable generated by aggregation operators and orders of auto and exogenous regression selected by information criterion separately for each regime is given. Model specification procedure is demonstrated on trivariate exchange rates time series. The application results show satisfactory improvement in fit when particular aggregation operators are used. Source code in the...

Applications of regime-switching models based on aggregation operators

Jozef Komorník, Magda Komorníková (2007)

Kybernetika

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A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.

External properness

Moisés Bonilla, Michel Malabre, Jaime Pacheco (2008)

Kybernetika

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In this paper, we revisit the structural concept of properness. We distinguish between the properness of the whole system, here called internal properness, and the properness of the “observable part” of the system. We give geometric characterizations for this last properness concept, namely external properness.