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Nonlinear Time Series Models - University of Washington
faculty.washington.eduthreshold AR models and two tests for threshold nonlinearity, and Sec-tion 18.4 introduces smooth transition AR (STAR) models and a test for STAR nonlinearity. Finally Section 18.5 describes the Markov switching state space models and Section 18.6 gives an extended example of how to estimate Markov switching models in S+FinMetrics.