Dynamic Time Series Analysis Using Logistic Function

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Date

2004-08-08

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Abstract

This paper investigates a set of autoregressive time series models whose coefficients have the form of a logistic function. The transfer function type models give additional flexibility over the fixed coefficients models and include them as a special case. NLAR models with the AR(1) coefficient being a hyperbolic tangent function work well for modeling series which have asymmetric stochastic volatility or changing amplitude around 0 with a persistent autocorrelation and locally nonstationary behavior.

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hyperbolic tangent function, nonlinear autoregressive model, logistic function

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http://www.lib.ncsu.edu/resolver/1840.16/3753

Degree

PhD

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Statistics

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