The linear approximation of nonlinear time series models is not an easy task. In this chapter, we give a definition of linear process and we distinguish between linear approximation and linear representation of nonlinear models, briefly giving some examples that better clarify this distinction. The attention is here focused on the threshold autoregressive models whose linear approximation is discussed starting from a motivating example and some theoretical issues.
A note on the linear approximation of TAR models
Francesco Giordano;Marcella Niglio;Cosimo Damiano Vitale
2019-01-01
Abstract
The linear approximation of nonlinear time series models is not an easy task. In this chapter, we give a definition of linear process and we distinguish between linear approximation and linear representation of nonlinear models, briefly giving some examples that better clarify this distinction. The attention is here focused on the threshold autoregressive models whose linear approximation is discussed starting from a motivating example and some theoretical issues.File in questo prodotto:
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