14 citations · 48 across the 6 of their papers we have counts for
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math.ST2018★ 9 cited
Stationarity and ergodicity of vector STAR models
Igor L. Kheifets, Pentti J. Saikkonen
Smooth transition autoregressive models are widely used to capture nonlinearities in univariate and multivariate time series. Existence of stationary solution is typically assumed,…
stat.ME2018★ 6 cited
Multivariate Specification Tests Based on a Dynamic Rosenblatt Transform
Igor L. Kheifets
This paper considers parametric model adequacy tests for nonlinear multivariate dynamic models. It is shown that commonly used Kolmogorov-type tests do not take into account cross-…