Local-global neural networks: a new approach for nonlinear time series modelling
Mayte Suárez Fariñas, Carlos Eduardo Pedreira, Marcelo Medeiros · RePEc: Research Papers in Economics · 2003
In this paper, the Local Global Neural Networks model is proposed within the context of time series models. This formulation encompasses some already existing nonlinear models and also admits the Mixture of Experts approach. We place emphasis on the linear expert case and extensively discuss the theoretical aspects of the model: stationarity conditions, existence, consistency and asymptotic normality of the parameter estimates, and model identifiability. A model building strategy is also considered and the whole procedure is illustrated with two real time-series.