Non-Linear Time Series Prediction: A Survey
Yahya Badran · 2022
This is a a small survey of time-series prediction using nonlinear models. Thechoice of models is based on popularity and theoretical importance. Linear models are described then we cover the non-linear models: ARCH Model, Time Varying Coefficients (Threshold Autoregressive Models, Markov Switching mode, andNon-Parametric Approximation of the Coefficients), and we end with ArtificialNeural Networks application in time series.