On the Identifiability Conditions in Some Nonlinear Time Series Models
Statistics Theory
2015-03-03 v2 Statistics Theory
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.
Cite
@article{arxiv.1312.7375,
title = {On the Identifiability Conditions in Some Nonlinear Time Series Models},
author = {Jungsik Noh and Sangyeol Lee},
journal= {arXiv preprint arXiv:1312.7375},
year = {2015}
}
Comments
17 pages, 0 figure