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非线性局部非平稳滤波器的随机性质AI 解读

This article delivers conditions for the existence of a unique stationary, ergodic and φ-mixing invertible solution for nonlinear time-varying parameter models that are locally non-stationary or explosive. The assumptions are different from existing conditions as they do not impose Lipschitz, bounded growth or drift restrictions. Instead we require that the time series contains resetting dynamics. These dynamics are present in time series with sudden changes, such as stock…

描述局部爆炸行为的时变参数模型AI 解读

Financial and economic time series can feature locally explosive behaviour when bubbles are formed. We develop a time-varying parameter model that is capable of describing this behaviour in time series data. Our proposed dynamic model can be used to predict the emergence, existence and burst of bubbles. We adopt a flexible observation driven model specification that allows for different bubble shapes and behaviour. We establish stationarity, ergodicity, and bounded moments…