Abstract #301734

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2003 Program page
JSM 2003 Abstract #301734
Activity Number: 239
Type: Contributed
Date/Time: Tuesday, August 5, 2003 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistics & the Environment
Abstract - #301734
Title: Dynamic Time Series Analysis Using Logistic Function
Author(s): SangPil Hwang*+ and David A. Dickey
Companies: North Carolina State University and North Carolina State University
Address: N-23 E.S. King Village, Raleigh, NC, 27607,
Keywords: dynamic time series ; logistic function
Abstract:

Dynamic nonlinear time series models have gained popularity lately. Tong (1990) gives many useful results. This paper investigates a set of nonlinear autogressive time series models whose coefficients have the form of logistic functions. This gives additional flexibility over the fixed coefficient models and includes them as a special case. The models are useful for series that have changing amplitude or asymmetric stochastic volatility. Variants of a transfer function type model are also considered. Compared with the standard transfer function model where the coefficients are fixed and neither they nor their estimates depend on time, our model with flexible logistic weights allows a different impact of the explanatory variables at different times. The application of the model will be made with some environmental data.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2003 program

JSM 2003 For information, contact meetings@amstat.org or phone (703) 684-1221. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2003