On the Identifiability Conditions in Some Nonlinear Time Series Models

2013/12/28 by Jungsik Noh, Noh, Jungsik, Sangyeol Lee +1
Economics, Econometrics and Finance · Engineering · Mathematics · #Control Systems and Identification #Fault Detection and Control Systems #Financial Risk and Volatility Modeling #math.ST #msc:62F10 #msc:62M10 #msc:91B84 #stat.TH

paper · pdf · doi:10.48550/arxiv.1312.7375

17 pages, 0 figure

arxiv created 2015/02/28 · arxiv updated 2015/03/03

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.

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