AbstractA generalized definition of invertibility is proposed and applied to linear, non-linear and bilinear models. It is shown that some recently studied non-linear models are not invertible, but conditions for invertibility can be achieved for the other models
We review the concepts of local and global invertibility for a nonlinear auto-regressive moving-aver...
In the time series analysis one of the most used predicting models are of so called auto regressive ...
Abstract: Reversal of the time direction in stochastic systems driven by white noise has been of cen...
AbstractA generalized definition of invertibility is proposed and applied to linear, non-linear and ...
The A. shows that under some simple conditions involving the expectations of the logarithms of the a...
AbstractNecessary and sufficient conditions for strict stationarity and invertibility are found for ...
Recent interest in polynomial moving average models has raised the question of their invertibility. ...
summary:A linear moving average model with random coefficients (RCMA) is proposed as more general al...
In this note, a sufficient condition is given for the existence and uniqueness of a stable causal so...
It is important that the estimates of the parameters of an autoregressive moving-average (ARMA) mode...
Invertibility conditions for observation-driven time series models often fail to be guaranteed in em...
The Threshold Moving Average model with k regimes of order q is examined. In particular we provide ...
In this chapter we propose a class of nonlinear time series models in which the underlying process s...
I study the invertibility problem for time-varying Dynamic Stochastic General Equilibrium (DSGE) mod...
This thesis addresses different aspects of observation-driven time series modeling. The main contrib...
We review the concepts of local and global invertibility for a nonlinear auto-regressive moving-aver...
In the time series analysis one of the most used predicting models are of so called auto regressive ...
Abstract: Reversal of the time direction in stochastic systems driven by white noise has been of cen...
AbstractA generalized definition of invertibility is proposed and applied to linear, non-linear and ...
The A. shows that under some simple conditions involving the expectations of the logarithms of the a...
AbstractNecessary and sufficient conditions for strict stationarity and invertibility are found for ...
Recent interest in polynomial moving average models has raised the question of their invertibility. ...
summary:A linear moving average model with random coefficients (RCMA) is proposed as more general al...
In this note, a sufficient condition is given for the existence and uniqueness of a stable causal so...
It is important that the estimates of the parameters of an autoregressive moving-average (ARMA) mode...
Invertibility conditions for observation-driven time series models often fail to be guaranteed in em...
The Threshold Moving Average model with k regimes of order q is examined. In particular we provide ...
In this chapter we propose a class of nonlinear time series models in which the underlying process s...
I study the invertibility problem for time-varying Dynamic Stochastic General Equilibrium (DSGE) mod...
This thesis addresses different aspects of observation-driven time series modeling. The main contrib...
We review the concepts of local and global invertibility for a nonlinear auto-regressive moving-aver...
In the time series analysis one of the most used predicting models are of so called auto regressive ...
Abstract: Reversal of the time direction in stochastic systems driven by white noise has been of cen...
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