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math.ST2015★ 1 cited
A Double AR Model Without Intercept: an Alternative to Modeling Nonstationarity and Heteroscedasticity
Dong Li, Shaojun Guo, Ke Zhu
This paper presents a double AR model without intercept (DARWIN model) and provides us a new way to study the non-stationary heteroskedastic time series. It is shown that the DARWI…
math.ST2012★ 20 cited
On moving-average models with feedback
Dong Li, Shiqing Ling, Howell Tong
Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic ca…