学位论文详细信息
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.
【 预 览 】
Files | Size | Format | View |
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Dynamic Time Series Analysis Using Logistic Function | 1874KB | download |