Projection Pursuit Autoregression in Time Series

DOI10.1111/1467-9892.00167MaRDI QIDQ4956038zbMATH OpenOpenAlexFDO

Authors

Publication date 24 May 2000

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

Full work available at URL https://doi.org/10.1111/1467-9892.00167

zbMATH Keywords

consistencyconvergence ratenonlinear autoregressionprojection pursuit components

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(7)

• Heteroscedastic modelling via the autoregressive conditional variance subspace
• Projected polynomial autoregression for prediction of stationary time series
• Projection estimators for autoregressive panel data models
• An Adaptive Estimation of Dimension Reduction Space
• An exploratory data analysis of the temperature fluctuations in a spreading fire
• Stacking-based neural network for nonlinear time series analysis
• Fourier methods for efficient sufficient dimension reduction in time series

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