Multiple-index approach to multiple autoregressive time series model

DOI10.1007/S11222-011-9302-8MaRDI QIDQ746264zbMATH OpenOpenAlexFDO

Authors Jin-Hong Park

Publication date 16 October 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-011-9302-8

zbMATH Keywords

multiple time series modelingnonlinearitysufficient dimension reductiontime series central subspace

Mathematics Subject Classification ID

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

Recommendations

• Analysing nonlinear time series with central subspace
• A common framework for estimating multivariate autoregressive index models
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• scientific article; zbMATH DE number 2060193
• Reduced rank models for multiple time series

Cites work

• A semiparametric threshold model for censored longitudinal data analysis
• An Adaptive Estimation of Dimension Reduction Space
• Analysis of financial time series
• Dimension reduction in time series
• Direction estimation in single-index regressions
• scientific article; zbMATH DE number 1347886 (Why is no real title available?)
• scientific article; zbMATH DE number 1833046 (Why is no real title available?)
• scientific article; zbMATH DE number 837911 (Why is no real title available?)
• scientific article; zbMATH DE number 5223072 (Why is no real title available?)
• Impact of unknown covariance structures in semiparametric models for longitudinal data: an application to Wisconsin diabetes data
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric vector autoregression
• On extended partially linear single-index models
• Semi-parametric estimation of partially linear single-index models
• Spline estimation of single-index models
• Unified predictor hypothesis tests in sufficient dimension reduction: a bootstrap approach
• Using the Bootstrap to Select One of a New Class of Dimension Reduction Methods

Cited in

(3)

• A common framework for estimating multivariate autoregressive index models
• Index models with integrated time series
• Single‐Index Additive Vector Autoregressive Time Series Models

Describes a project that uses

Uses Software

• TSA

This page was built for publication: Multiple-index approach to multiple autoregressive time series model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q746264)