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State‐Dependent Models: A General Approach To Non‐Linear Time Series Analysis

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  • M. B. Priestley

Abstract

. We construct a general class of non‐linear models, called ‘state‐dependent models’, which have a very flexible non‐linear structure and which contain, as special cases, bilinear, threshold autoregressive, and exponential autoregressive models. We describe a sequential type of recursive algorithm for identifying state‐dependent models, and show how such models may be used for forecasting and for indicating specific types of non‐linear behaviour.

Suggested Citation

  • M. B. Priestley, 1980. "State‐Dependent Models: A General Approach To Non‐Linear Time Series Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 47-71, January.
  • Handle: RePEc:bla:jtsera:v:1:y:1980:i:1:p:47-71
    DOI: 10.1111/j.1467-9892.1980.tb00300.x
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