A diagnostic statistic for functional-coefficient autoregressive models

DOI10.1080/03610929808832226MaRDI QIDQ4216592zbMATH OpenOpenAlexFDO

Authors Yasumasa Matsuda

Publication date 4 March 1999

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832226

zbMATH Keywords

conditional least squares estimatordelay parameternonlinear time seriesnonparametric estimatorstationary time series

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Functional coefficient autoregressive models: estimation and tests of hypotheses
• Functional-Coefficient Autoregressive Models
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• Nonlinear ARMA models with functional MA coefficients

Cites work

• A Test of Linearity for Functional Autoregressive Models
• Comparing nonparametric versus parametric regression fits
• Dependent central limit theorems and invariance principles
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Functional-Coefficient Autoregressive Models
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Nonparametric tests of linearity for time series
• On conditional least squares estimation for stochastic processes
• Topics in Advanced Econometrics

Cited in

(4)

• Diagnostics for functional regression via residual processes
• Functional coefficient autoregressive models: estimation and tests of hypotheses
• Functional-Coefficient Autoregressive Models
• A test of linearity against functional coefficient autoregressive models

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