Identification of nonlinear time series: First order characterization and order determination
非线性时间序列的识别：一阶刻画与阶数确定
We study the possibility of identifying nonlinear time series using nonparametric estimates of the conditional mean and conditional variance. It is shown that most nonlinear models satisfy the assumptions needed to apply nonparametric asymptotic theory. Sampling variations of the conditional quantities are studied by simulation and explained by asymptotic arguments for a number of first-order nonlinear autoregressive processes. The conditional mean and variance can be used…