In this paper we face the problem of the linear approximation of nonlinear time series models. After the definition of linear process, we distinguish between linear approximation and linear representation of nonlinear models, shortly giving some examples that better clarify this distinction. The attention is then given to the threshold autoregressive models whose linear approximation is discussed starting from an example (that motivate the contribution) and some theoretical issues.
|Titolo:||Linear approximation of nonlinear threshold models|
|Data di pubblicazione:||2017|
|Appare nelle tipologie:||4.1 Contributi in Atti di convegno|