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http://dx.doi.org/10.5351/KJAS.2003.16.2.293

Combination Prediction for Nonlinear Time Series Data with Intervention  

김덕기 (산업경영기술 컨설팅)
김인규 (우송정보대학 전자정보계열)
이성덕 (충북대학교 통계학과)
Publication Information
The Korean Journal of Applied Statistics / v.16, no.2, 2003 , pp. 293-303 More about this Journal
Abstract
Under the case that we know the period and the reason of external events, we reviewed the method of model identification, parameter estimation and model diagnosis with the former papers that have been studied about the linear time series model with intervention, and compared with nonlinear time series model such as ARCH, GARCH model that it has been used widely in economic models, and also we compared with the combination prediction method that Tong(1990) introduced.
Keywords
Intervention; nonlinear time series; ARCH model; combination prediction;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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