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In this paper we present, propose and examine additional membership functions. There is no reason why more functions cannot be proposed. More specifically, we present the tangent hyperbolic, Gaussian and Generalized bell functions. Because Smoothing Transition Autoregressive (STAR) models follow...
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We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail, with...
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In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...
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