Identification non paramétrique d’un processus non linéaire hétéroscédastique

Nonparametric identification of heteroscedastic nonlinear process

Mohamed Chikhi

MPRA Paper from University Library of Munich, Germany

Abstract: Cet article vise à identifier un processus non linéaire par la méthode du noyau. Cette identification nécessite une sélection rigoureuse des coefficients de Markov et le choix de la fenêtre qui détermine le degré de lissage de l’estimateur. This paper aims to identify a nonlinear process by the kernel methodology. This identification requires the selection of the Markov coefficients and the choice of bandwidth, which determines the degree of estimator’s smoothing.

Keywords: Final Prediction Error; kernel; bandwidth; functional autoregressive process. (search for similar items in EconPapers)
JEL-codes: C14 C58 G12 (search for similar items in EconPapers)
Date: 2009, Revised 2009
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Published in Revue d’Economie et de Statistiques Appliquées 12 (2009): pp. 9-27

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:82108

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