Dynamic Time Series Analysis Using Logistic Function

hyperbolic tangent function;nonlinear autoregressive model;logistic function

Hwang, SangPil ; David A.Dickey, Committee Chair,Sastry G. Pantula, Committee Member,Bibhuti B. Bhattacharyya, Committee Member,Matt Holt, Committee Member,Hwang, SangPil ; David A.Dickey ; Committee Chair ; Sastry G. Pantula ; Committee Member ; Bibhuti B. Bhattacharyya ; Committee Member ; Matt Holt ; Committee Member

University:North Carolina State University

关键词: hyperbolic tangent function;    nonlinear autoregressive model;    logistic function;   

Others  :  https://repository.lib.ncsu.edu/bitstream/handle/1840.16/3753/etd.pdf?sequence=1&isAllowed=y

美国|英语

来源: null

【 摘 要 】

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.