Some Nonlinear Time-series Models
نویسندگان
چکیده
Well-known Box-Jenkins Autoregressive integrated moving average (ARIMA) methodology has virtually dominated analysis of time-series data since 1930s. However, it is applicable to only those data that are either stationary or can be made so. Another limitation is that the resultant model is “Linear”. During the last two decades or so, the area of “Nonlinear time-series” is rapidly growing. Here, there are basically two possibilities, viz. Parametric or Nonparametric approaches. Evidently, if in a particular situation, we are quite sure about the functional form, we should use the former, otherwise the latter may be employed.
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