Abstract
In this study, we consider the identifiability problem for nonlinear time series models. Special attention is paid to smooth transition GARCH, nonlinear Poisson autoregressive, and multiple regime smooth transition autoregressive models. Some sufficient conditions are obtained to establish the identifiability of these models.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 395-413 |
| Number of pages | 19 |
| Journal | Revstat Statistical Journal |
| Volume | 14 |
| Issue number | 4 |
| State | Published - Oct 2016 |
Keywords
- GARCH-type models
- Identifiability
- Nonlinear time series models
- Poisson autoregressive models
- Smooth transition GARCH models
- Smooth transition autoregressive models
ASJC Scopus subject areas
- Statistics and Probability