Modelling and analysis of non-linear time series
- 1 December 1989
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 50 (6), 2151-2171
- https://doi.org/10.1080/00207178908953491
Abstract
The modelling of non-linear time series is reviewed and new results are introduced by employing some ideas from the identification of non-linear control systems. Both global and local conditions for stationary and invertibility are established for the general non-linear time-series model and it is shown how these results provide a framework for time-series estimators. Methods of computing multistep-ahead predictions are studied and the usefulness of polynomial models is discussed.Keywords
This publication has 10 references indexed in Scilit:
- Modelling and analysis of non-linear time seriesInternational Journal of Control, 1989
- Identification of non-linear rational systems using a prediction-error estimation algorithmInternational Journal of Systems Science, 1989
- Recursive prediction error parameter estimator for non-linear modelsInternational Journal of Control, 1989
- SOME DOUBLY STOCHASTIC TIME SERIES MODELSJournal of Time Series Analysis, 1986
- Input-output parametric models for non-linear systems Part I: deterministic non-linear systemsInternational Journal of Control, 1985
- A STUDY OF THE APPLICATION OF STATE‐DEPENDENT MODELS IN NON‐LINEAR TIME SERIES ANALYSISJournal of Time Series Analysis, 1984
- Threshold Models in Non-linear Time Series AnalysisLecture Notes in Statistics, 1983
- Stationarity and invertibility of simple bilinear modelsStochastic Processes and their Applications, 1982
- THE ESTIMATION AND PREDICTION OF SUBSET BILINEAR TIME SERIES MODELS WITH APPLICATIONSJournal of Time Series Analysis, 1981
- STATE‐DEPENDENT MODELS: A GENERAL APPROACH TO NON‐LINEAR TIME SERIES ANALYSISJournal of Time Series Analysis, 1980