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Control Charts for Multivariate Nonlinear Time Series
Revstat Statistical Journal, 2015 In this paper control charts for the simultaneous monitoring of the means and the variances of multivariate nonlinear time series are introduced. The underlying target process is assumed to be a constant conditional correlation process (cf. [3]).
Robert Garthoff +2 more
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Nonlinear Regressions with Integrated Time Series [PDF]
Econometrica, 2001 Summary: All asymptotic theory is developed for nonlinear regression with integrated processes. The models allow for nonlinear effects from unit root time series and therefore deal with the case of parametric nonlinear cointegration. The theory covers integrable and asymptotically homogeneous functions.
Joon Y. Park, Peter C.B. Phillips
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Kernel Methods for Nonlinear Connectivity Detection
Entropy, 2019 In this paper, we show that the presence of nonlinear coupling between time series may be detected using kernel feature space F representations while dispensing with the need to go back to solve the pre-image problem to gauge model adequacy.
Lucas Massaroppe, Luiz A. Baccalá
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Applied Sciences, 2022 Objective: Converging evidence supporting an effect of transcranial direct current stimulation (tDCS) on postural control and human verticality perception highlights this strategy as promising for post-stroke rehabilitation.
Diandra B. Favoretto +10 more
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Estimation of Right-censored SETAR-type Nonlinear Time-series Model [PDF]
E3S Web of Conferences, 2023 This paper focuses on estimating the Self-Exciting Threshold Autoregressive (SETAR) type time-series model under right-censored data. As is known, the SETAR model is used when the underlying function of the relation-ship between the time-series itself ...
Ahmed Syed Ejaz +2 more
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Are apparent findings of nonlinearity due to structural instability in economic time series? [PDF]
, 2001 Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic times series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated ...
Potter, Simon M., Koop, Gary
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International Journal of Distributed Sensor Networks, 2021 Time series have broad usage in the wireless Internet of Things. This article proposes a nonlinear time series prediction algorithm based on the Small-World Scale-Free Network after the AIC-Optimized Subtractive Clustering Algorithm (AIC-DSCA-SSNET, AD ...
Banteng Liu +7 more
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Nonlinear Time Series Modelling: An Introduction [PDF]
Journal of Economic Surveys, 1999 Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear model are discussed: Markov Switching, Threshold Autoregression and Smooth Transition Autoregression. Classical and Bayesian estimation techniques are described for each model.
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Presenting a new hybrid method for predicting the Stock Exchange price inde [PDF]
تحقیقات مالی, 2017 The trend of the stock price index, has taken as one of the investment criteria consistently. Because of the two components of nonlinear and time series price index volatility, in this study, a new hybrid model presented that can predict move and change ...
Diako Dorodi, Seyed Babak Abrahimi
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Recurrence Plots in Nonlinear Time Series Analysis: Free Software
Journal of Statistical Software, 2002 Recurrence plots are graphical devices specially suited to detect hidden dynamical patterns and nonlinearities in data. However, there are few programs available to apply such a mehodology.
Jorge Belaire-Franch, Dulce Contreras
doaj +3 more sources