Work

On the Identifiability Conditions in Some Nonlinear Time Series Models

Year: 2013

Type: preprint

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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1312.7375

Authors: Noh, Jungsik, Lee, Sangyeol

Institution: Seoul National University

Language: English

Topic: Control Systems and Identification

Subfield: Control and Systems Engineering

Field: Engineering

Domain: Physical Sciences

Open Access status: green

Funders: National Research Foundation, National Research Foundation of Korea

Award: G5045347524

OpenAlex ID: W2963058028

Cites:

Cited by: 1

Related to: 20