Modelling autoregressive processes with a shifting mean
This paper contains a nonlinear, nonstationary autoregressive model whose intercept changes deterministically over time. The intercept is a flexible function of time, and its construction bears some resemblance to neural network models. A modeling techniq
Autores Principales: | , |
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Formato: | Documento de trabajo (Working Paper) |
Lenguaje: | Español (Spanish) |
Publicado: |
Banco de la República
2006
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Materias: | |
Acceso en línea: | http://repositorio.banrep.gov.co/handle/20.500.12134/5438 |
Sumario: | This paper contains a nonlinear, nonstationary autoregressive model whose intercept changes deterministically over time. The intercept is a flexible function of time, and its construction bears some resemblance to neural network models. A modeling techniq |
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