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NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON‐LINEAR AUTOREGRESSION

 

作者: R. Moeanaddin,   Howell Tong,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1990）
卷期: Volume 11, issue 1  

页码: 33-48

 

ISSN:0143-9782

 

年代: 1990

 

DOI:10.1111/j.1467-9892.1990.tb00040.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Chapman‐Kolmogorov formula;conditional density;eigenvalues;EXPAR models;Gauss‐type formula;integral equation;matrix squaring;non‐linear autoregressive models;numerical integration;SETAR models

 

数据来源: WILEY

 

摘要:

Abstract.We use the Chapman‐Kolmogorov formula as a recursive relation for computing them‐step‐ahead conditional density of a non‐linear autoregressive model. We approximate the stationary marginal probability density function of the model by them‐step‐ahead conditional density for sufficiently largem.An advantage of our method is its simple implementation; only one NAG subroutine is needed. We have also studied the advantage of incorporating the matrix‐squar

 

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