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Some More Models
DOI link for Some More Models
Some More Models book
Some More Models
DOI link for Some More Models
Some More Models book
ByTohru Ozaki
Edition 1st Edition
First Published 2012
Imprint CRC Press
Pages 34
eBook ISBN 9780429147128
ABSTRACT
Some of the examples of Gaussian white noise-driven nonlinear AR(2) models are shown here:
1. ExpAR(2) model (see Ozaki 1980, 1981b, Haggan and Ozaki 1981):
x e x e x wt x
= + + + +− −
− −( ) ( ) .φ pi φ piγ γ1 1 1 2 2 21 2
2. RBF-AR(2) model (see Vesin 1993, Ozaki et al. 1997, 2004):
= + +( ) + +
− −φ pi pi
φ pi
− −+( ) +γ γpi 3. STAR(2) model (see Terasvirta 1994):
x x x e x x e wt t t x
= +{ } + +{ } −( ) + − −
1 .