Nonlinear Time Series
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Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cited in
(96)- Specification testing in nonlinear and nonstationary time series autoregression
- Efficient estimation of copula-based semiparametric Markov models
- Forecasting in nonlinear univariate time series using penalized splines
- Generalized F-test for high dimensional regression coefficients of partially linear models
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- A novel partial-linear single-index model for time series data
- Additive nonparametric models with time variable and both stationary and nonstationary regressors
- Statistical inference for partially linear stochastic models with heteroscedastic errors
- Bayesian multi-regime smooth transition regression with ordered categorical variables
- Empirical likelihood confidence regions for autoregressive models with explanatory variables
- Testing for the presence of jump components in jump diffusion models
- Recursive estimation in large panel data models: theory and practice
- Empirical likelihood based inference for a categorical varying-coefficient panel data model with fixed effects
- SCAD-penalized regression for varying-coefficient models with autoregressive errors
- Semiparametric single-index panel data models with cross-sectional dependence
- Specification testing for nonlinear multivariate cointegrating regressions
- A copula approach for dependence modeling in multivariate nonparametric time series
- Semiparametric estimation in triangular system equations with nonstationarity
- A Darling-Erdős type result for stationary ellipsoids
- Testing conditional independence via empirical likelihood
- Sieve inference on possibly misspecified semi-nonparametric time series models
- Semiparametric GEE analysis in partially linear single-index models for longitudinal data
- Panel nonparametric regression with fixed effects
- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
- A hidden Markov regime-switching smooth transition model
- Econometric modelling in finance and risk management: an overview
- Specification testing in discretized diffusion models: theory and practice
- Testing for multivariate volatility functions using minimum volume sets and inverse regression
- The central limit theorem for degenerate variable U-statistics under dependence
- Unstable volatility: the break-preserving local linear estimator
- SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE
- A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks
- Reweighted functional estimation of diffusion models
- On a partly linear autoregressive model with moving average errors
- An updated review of goodness-of-fit tests for regression models
- Local limit theory and spurious nonparametric regression
- Nonparametric specification testing for nonlinear time series with nonstationarity
- Nonparametric LAD cointegrating regression
- Semiparametric Regression Smoothing of Non-linear Time Series
- Change-point analysis in increasing dimension
- Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- Specification testing in nonparametric AR‐ARCH models
- Non-parametric time-varying coefficient panel data models with fixed effects
- A robust test for serial correlation in panel data models
- Identification for partially linear regression model with autoregressive errors
- Estimation in single-index panel data models with heterogeneous link functions
- Two-step variable selection in partially linear additive models with time series data
- scientific article; zbMATH DE number 7578230 (Why is no real title available?)
- Series estimation for single-index models under constraints
- SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
- Simultaneous specification testing of mean and variance structures in nonlinear time series regression
- Inference on a semiparametric model with global power law and local nonparametric trends
- Semiparametric estimation of moment condition models with weakly dependent data
- Semiparametric trending panel data models with cross-sectional dependence
- Estimation in threshold autoregressive models with a stationary and a unit root regime
- Variable selection in partially time-varying coefficient models
- Non-parametric smoothing and prediction for nonlinear circular time series
- Semiparametric methods in nonlinear time series analysis: a selective review
- Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
- Estimation in a semiparametric panel data model with nonstationarity
- Nonparametric localized bandwidth selection for kernel density estimation
- Functional coefficient time series models with trending regressors
- Smooth coefficient models with endogenous environmental variables
- On endogeneity and shape invariance in extended partially linear single index models
- Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing
- Semiparametric autoregressive conditional duration model: theory and practice
- Variable selection in heterogeneous panel data models with cross‐sectional dependence
- Semiparametric time series regression modeling with a diverging number of parameters
- Specification tests for time-varying coefficient models
- Spline estimation of partially linear regression models for time series with correlated errors
- Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
- Semi-parametric single-index predictive regression models with cointegrated regressors
- On Semiparametrically Dynamic Functional-Coefficient Autoregressive Spatio-Temporal Models with Irregular Location Wide Nonstationarity
- Flexible conditional density estimation for time series
- Measuring Granger Causality in Quantiles
- Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
- Transformed Estimation for Panel Interactive Effects Models
- Tractably modelling dependence in networks beyond exchangeability
- GMM estimation for high-dimensional panel data models
- Varying coefficient partially nonlinear models with nonstationary regressors
- Nonparametric predictive regression for stock return prediction
- Estimation for partially time-varying spatial autoregressive panel data model under linear constraints
- Some developments in semiparametric statistics
- Estimation and Inference for a Semiparametric Time–Varying Panel Data Model
- Filtering out high frequencies in time series using F-transform
- Nonparametric estimation of smooth coefficients in fixed-effect panel data models
- Fourier methods for efficient sufficient dimension reduction in time series
- Model averaging for time-varying vector autoregressions
- Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
- A nonparametric measure of heteroskedasticity
- Robust estimation in a nonlinear cointegration model
- A misspecification test for multiplicative error models of non-negative time series processes
- Reconstructing the hidden states in time course data of stochastic models
- Parametric and nonparametric models and methods in financial econometrics
- A note on the invertibility of nonlinear ARMA models
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