STATE‐DEPENDENT MODELS: A GENERAL APPROACH TO NON‐LINEAR TIME SERIES ANALYSIS

M. B. Priestley

Journal of Time Series Analysis, 1980, vol. 1, issue 1, 47-71

Abstract: Abstract. We construct a general class of non‐linear models, called ‘state‐dependent models’, which have a very flexible non‐linear structure and which contain, as special cases, bilinear, threshold autoregressive, and exponential autoregressive models. We describe a sequential type of recursive algorithm for identifying state‐dependent models, and show how such models may be used for forecasting and for indicating specific types of non‐linear behaviour.

Date: 1980
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