which the transitional density is a multivariate Gaussian density with first and second moments approximating the true … moments of the unknown density. For affine drift and diffusion functions, the moments are exactly those of the true … transitional density and for nonlinear drift and diffusion functions the approximation is extremely good and is as effective as …

variance of the residuals of the linear and nonlinear autoregressive models by Akaike Information Criterion, and a surrogate … data analysis was conducted. Findings – It shows that a nonlinear autoregressive model outperforms a linear stochastic … different model orders and the data for the entire samples are estimated, it appears that the nonlinear model has a better …

market, and such a phenomenon is considered as an adverse influence. Nonlinear Granger causality and Bayesian factor analysis … are employed to investigate the nonlinear relationship between ADR and LD. The results indicate the existence of a … nonlinear relationship between ADR and LD by employing Bayesian factor analysis, which has never been employed in the related …