An Exponential Autoregressive Time Series Model for Complex Data
Mathematics(2023)
摘要
In this paper, an exponential autoregressive model for complex time series data is presented. As for estimating the parameters of this nonlinear model, a three-step procedure based on quantile methods is proposed. This quantile-based estimation technique has the benefit of being more robust compared to least/absolute squares. The performance of the introduced exponential autoregressive model is evaluated by means of four established goodness-of-fit criteria. The practical utility of the novel time series model is showcased through a comparative analysis involving simulation studies and real-world data illustrations.
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关键词
AR model,ARMA model,fuzzy nonlinear time series,fuzzy data,time series analysis
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