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Additional Smoothing Transition Autoregressive Models

Author

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  • Giovanis, Eleftherios

Abstract

In this paper we present, propose and examine additional membership functions. There is no reason why more functions cannot be proposed. More specifically, we present the tangent hyperbolic, Gaussian and Generalized bell functions. Because Smoothing Transition Autoregressive (STAR) models follow fuzzy logic approach, more functions should be tested. Furthermore, fuzzy rules can be incorporated or other training or computational methods can be applied as the error backpropagation algorithm instead to nonlinear squares. Some numerical applications are presented and MATLAB routines are provided

Suggested Citation

  • Giovanis, Eleftherios, 2008. "Additional Smoothing Transition Autoregressive Models," MPRA Paper 24657, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:24657
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    File URL: https://mpra.ub.uni-muenchen.de/24657/1/MPRA_paper_24657.pdf
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    More about this item

    Keywords

    Smoothing transition; exponential; logistic; Gaussian; Generalized Bell function; tangent hyperbolic; stock returns; unemployment rate; forecast; MATLAB;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • B53 - Schools of Economic Thought and Methodology - - Current Heterodox Approaches - - - Austrian

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