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A model for nonlinear innovation in time series.


D.W.U Ebong

Abstract

This paper introduces a class of nonlinear innovation process that has similar properties as the white noise process. Consequently the process can be a replacement of the white noise process in cases where the latter is inadequate as residual process.

KEYWORDS: Asymptotic distribution of autocorrelation, nonlinear errors, nonlinear residuals, nonlinear time series


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eISSN: 1596-6208