SEMIPARAMETRIC REGRESSION SMOOTHING OF NONLINEAR TIME-SERIES

Authors
GAO JT
Citation
Jt. Gao, SEMIPARAMETRIC REGRESSION SMOOTHING OF NONLINEAR TIME-SERIES, Scandinavian journal of statistics, 25(3), 1998, pp. 521-539
Citations number
39
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Scandinavian journal of statistics → ACNP
ISSN journal
03036898
Volume
25
Issue
3
Year of publication
1998
Pages
521 - 539
Database
ISI
SICI code
0303-6898(1998)25:3<521:SRSONT>2.0.ZU;2-O
Abstract
In this paper,,ve consider using a semiparametric regression approach to modelling non-linear autoregressive time series. Based on a finite series approximation to non-parametric components, an adaptive selecti on procedure for the number of summands Tn the series approximation is proposed. Meanwhile, a large sample study is detailed and a small sam ple simulation for the Maekey-Glass system is presented to support the large sample study.