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Hesamian, Gholamreza; Torkian, Faezeh; Johannssen, Arne; Chukhrova, Nataliya
Mathematics (Basel), 10/2023, Letnik: 11, Številka: 19Journal Article
In this paper, an exponential autoregressive model for complex time series data is presented. As for estimating the parameters of this nonlinear model, a three-step procedure based on quantile methods is proposed. This quantile-based estimation technique has the benefit of being more robust compared to least/absolute squares. The performance of the introduced exponential autoregressive model is evaluated by means of four established goodness-of-fit criteria. The practical utility of the novel time series model is showcased through a comparative analysis involving simulation studies and real-world data illustrations.
