Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags

DOI10.2307/2291003zbMath0813.62037OpenAlexW4244470825MaRDI QIDQ4323569

Dag Tjøstheim, Bjørn H. Auestad

Publication date: 23 February 1995

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2291003

zbMATH Keywords

simulationsconditional varianceconditional meanfinal prediction errorlag structurelynx datasunspot dataadaptive time series modelblowfly datageneral nonlinear stationary time seriesheteroscedastic seriessignificant lags

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric inference (62G99)

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