Premium
NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON‐LINEAR AUTOREGRESSION
Author(s) -
Moeanaddin R.,
Tong Howell
Publication year - 1990
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1990.tb00040.x
Subject(s) - mathematics , autoregressive model , subroutine , simple (philosophy) , conditional probability distribution , probability density function , relation (database) , marginal distribution , conditional expectation , mathematical optimization , econometrics , statistics , random variable , computer science , philosophy , epistemology , database , operating system
Abstract. We use the Chapman‐Kolmogorov formula as a recursive relation for computing the m ‐step‐ahead conditional density of a non‐linear autoregressive model. We approximate the stationary marginal probability density function of the model by the m ‐step‐ahead conditional density for sufficiently large m. An advantage of our method is its simple implementation; only one NAG subroutine is needed. We have also studied the advantage of incorporating the matrix‐squaring procedure.