Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients

DOI10.1111/jtsa.12511zbMath1447.62102WikidataQ126787337 ScholiaQ126787337MaRDI QIDQ5111851

Wenyang Zhang, Degui Li, Jiraroj Tosasukul

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12511

zbMATH Keywords

factor models; PCA; local linear smoothing; bootstrap procedure; functional-coefficient models; nonlinear forecast; vector auto-regression.

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62R10: Functional data analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

62J02: General nonlinear regression