Nonlinear time series. Nonparametric and parametric methods
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(only showing first 100 items - show all)- Nonparametric regression estimation with general parametric error covariance
- An asymptotic theory for sample covariances of Bernoulli shifts
- Estimating multivariate ARCH parameters by two-stage least-squares method
- Consistency of support vector machines for forecasting the evolution of an unknown ergodic dynamical system from observations with unknown noise
- Towards identification of Wiener systems with the least amount of a priori information: IIR cases
- Forecasting time series using principal component analysis with respect to instrumental variables
- Nonparametric conditional hazard rate estimation: a local linear approach
- Estimation of autoregressive models with epsilon-skew-normal innovations
- Testing diffusion processes for non-stationarity
- Local linear regression for data with AR errors
- Approximating conditional density functions using dimension reduction
- Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
- Specification testing in nonlinear and nonstationary time series autoregression
- Efficient estimation of copula-based semiparametric Markov models
- On nonparametric and semiparametric testing for multivariate linear time series
- Using threshold autoregressive models to study dyadic interactions
- A constructive approach to the estimation of dimension reduction directions
- Examining deterrence of adult sex crimes: a semi-parametric intervention time-series approach
- On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method
- Theoretical and practical aspects of the quadratic error in the local linear estimation of the conditional density for functional data
- The univariate MT-STAR model and a new linearity and unit root test procedure
- Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model
- Asymptotic distribution-free tests for semiparametric regressions with dependent data
- Nearest neighbor estimates of regression
- Time-varying quantile single-index model for multivariate responses
- Confidence regions for entries of a large precision matrix
- Conditional independence graph for nonlinear time series and its application to international financial markets
- Forecasting in nonlinear univariate time series using penalized splines
- Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation
- A weighted estimator of conditional hazard rate with left-truncated and dependent data
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Estimated conditional score function for missing mechanism model with nonignorable nonresponse
- Conditional density estimation using the local Gaussian correlation
- Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
- Fault prediction for nonlinear system using sliding ARMA combined with online LS-SVR
- Empirical likelihood inference for functional coefficient ARCH-M model
- Banded spatio-temporal autoregressions
- Factor models for matrix-valued high-dimensional time series
- Variable selection for spatial semivarying coefficient models
- Local polynomial estimation of a conditional mean function with dependent truncated data
- Statistical estimation of parameters for binary conditionally nonlinear autoregressive time series
- Implied volatility and state price density estimation: arbitrage analysis
- Nonparametric regression with multiple thresholds: estimation and inference
- Recursive identification of systems with binary-valued outputs and with ARMA noises
- Two-step estimation of time-varying additive model for locally stationary time series
- Nonlinear time series analysis since 1990: Some personal reflections
- Nonlinear Poisson autoregression
- Bayesian multi-regime smooth transition regression with ordered categorical variables
- Identification of Wiener, Hammerstein, and NARX systems as Markov chains with improved estimates for their nonlinearities
- Nonparametric quantile regression with heavy-tailed and strongly dependent errors
- Some recent theory for autoregressive count time series
- Inference for modulated stationary processes
- Deviation inequalities and moderate deviations for estimators of parameters in TAR models
- Semiparametric regression during 2003--2007
- Weighted resampling of martingale difference arrays with applications
- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- A scalar dynamic conditional correlation model: structure and estimation
- Wavelet-M-estimation for time-varying coefficient time series models
- A two-sample test for the equality of univariate marginal distributions for high-dimensional data
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Wavelet estimation in heteroscedastic regression models with \(\alpha\)-mixing random errors
- Learning sparse conditional distribution: an efficient kernel-based approach
- Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables
- A nonparametric estimation of the conditional ageing intensity function in censored data: a local linear approach
- Estimating change-point latent factor models for high-dimensional time series
- Pseudo-maximum likelihood estimators in linear regression models with fractional time series
- Asymptotics for \(L_1\)-wavelet method for nonparametric regression
- Asymptotic normality of the relative error regression function estimator for censored and time series data
- Spatio-temporal expanding distance asymptotic framework for locally stationary processes
- Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis
- Conditional rotation between forecasting models
- Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
- Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism
- Rank determination in tensor factor model
- Penalized estimation of threshold auto-regressive models with many components and thresholds
- A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations
- Spatial quantile estimation of multivariate threshold time series models
- Nonparametric mean-lower partial moment model and enhanced index investment
- Nonparametric regression for locally stationary functional time series
- Global temperatures and greenhouse gases: a common features approach
- Testing equality of a large number of densities under mixing conditions
- Sparsely observed functional time series: estimation and prediction
- Nonconcave penalized estimation in sparse vector autoregression model
- Asymptotics of estimators for nonparametric multivariate regression models with long memory
- Consistent nonparametric change point detection combining CUSUM and marked empirical processes
- Estimation of a multiplicative correlation structure in the large dimensional case
- A manifold learning approach to dimensionality reduction for modeling data
- Maximum independent component analysis with application to EEG data
- Heterogeneous panel data models with cross-sectional dependence
- Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
- Inference of local regression in the presence of nuisance parameters
- Bootstrap prediction in univariate volatility models with leverage effect
- Recursive estimation in large panel data models: theory and practice
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Nonparametric local linear estimation of the relative error regression function for twice censored data
- Optimal portfolio decision rule under nonparametric characterization of the interest rate dynamics
- Specification test for Markov models with measurement errors
- On the local linear modelization of the conditional distribution for functional data
- Estimating a density under pointwise constraints on the derivatives
- A robust test for mean change in dependent observations
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