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Nonlinear Regression with Harris Recurrent Markov Chains

Li, Degui; Tjøstheim, Dag; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2012

In this paper, we study parametric nonlinear regression under the Harris recurrent Markov chain framework. We first … consider the nonlinear least squares estimators of the parameters in the homoskedastic case, and establish asymptotic theory … properties of the nonlinear regression function, but also on the number of regenerations for the Harris recurrent Markov chain …

Persistent link: https://www.econbiz.de/10010860422

Invertibility Conditions for Exponential Smoothing Models

Hyndman, Rob J.; Akram, Muhammad; Archibald, Blyth - Department of Econometrics and Business Statistics, … - 2003

In this article we discuss invertibility conditions for some state space models, including the models that underly …

Persistent link: https://www.econbiz.de/10005149126

Time Series Forecasting: The Case for the Single Source of Error State Space

Ord, J Keith; Snyder, Ralph D; Koehler, Anne B; … - Department of Econometrics and Business Statistics, … - 2005

straightforward extensions to certain classes of non-linear models, including a linear trend with multiplicative seasonals version …

Persistent link: https://www.econbiz.de/10005427626

Beveridge-Nelson Decomposition with Markov Switching

Low, Chin Nam; Anderson, Heather; Snyder, Ralph D. - Department of Econometrics and Business Statistics, … - 2006

This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach incorporates Markov switching into a single source of error state-space framework, allowing business cycle asymmetries and regime...

Persistent link: https://www.econbiz.de/10005087574

Stochastic models underlying Croston's method for intermittent demand forecasting

Shenstone, Lydia; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2003

Intermittent demand commonly occurs with inventory data, with many time periods having no demand and small demand in the other periods. Croston's method is a widely used procedure for intermittent demand forecasting. However, it is an ad hoc method with no properly formulated underlying...

Persistent link: https://www.econbiz.de/10005087603

Nonlinear Correlograms and Partial Autocorrelograms

Anderson, Heather M.; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2003

construct nonlinear analogues to autocorrelograms and partial autocorrelograms. In contrast to other measures of nonlinear …

Persistent link: https://www.econbiz.de/10005087615

Non-linear exponential smoothing and positive data

Akram, Muhammad; Hyndman, Rob J.; Ord, J. Keith - Department of Econometrics and Business Statistics, … - 2007

We consider the properties of nonlinear exponential smoothing state space models under various assumptions about the …

Persistent link: https://www.econbiz.de/10005125278

Bayesian Exponential Smoothing.

Forbes, C.S.; Snyder, R.D.; Shami, R.S. - Department of Econometrics and Business Statistics, … - 2000

In this paper, a Bayesian version of the exponential smoothing method of forecasting is proposed. The approach is based on a state space model containing only a single source of error for each time interval. This model allows us to improve current practices surrounding exponential smoothing by...

Persistent link: https://www.econbiz.de/10005125279

Non-linear Modelling of the Australian Business Cycle using a Leading Indicator

Shami, Roland G.; Forbes, Catherine S. - Department of Econometrics and Business Statistics, … - 2002

This paper develops a new non-linear model to analyse the business cycle by exploiting the relationship between the …

Persistent link: https://www.econbiz.de/10005149035

Single Source of Error State Space Approach to the Beveridge Nelson Decomposition

Anderson, Heather M.; Low, Chin Nam; Snyder, Ralph - Department of Econometrics and Business Statistics, … - 2004

A well known property of the Beveridge Nelson decomposition is that the innovations in the permanent and transitory components are perfectly correlated. We use a single source of error state space model to exploit this property and perform a Beveridge Nelson decomposition. The single source of...

Persistent link: https://www.econbiz.de/10005149053