Identification of Nonlinear Time Series from First Order Cumulative Characteristics
利用一阶累积特征识别非线性时间序列
A new approach to the problem of identifying a nonlinear time series model is considered. We argue that cumulative lagged conditional mean and variance functions are the appropriate "signatures" of a nonlinear time series for the purpose of model identification, being analogous to cumulative distribution functions or cumulative hazard functions in iid models. We introduce estimators of the cumulative lagged conditional mean and variance functions and study their asymptotic…