Spline-backfitted kernel smoothing of nonlinear additive autoregression model

DOI10.1214/009053607000000488zbMATH Open1129.62038arXivmath/0612677OpenAlexW3101069201WikidataQ61865771 ScholiaQ61865771MaRDI QIDQ2473072FDOQ2473072

Authors: Li Wang, L. Yang 

Publication date: 26 February 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Application of nonparametric and semiparametric regression techniques to high-dimensional time series data has been hampered due to the lack of effective tools to address the ``curse of dimensionality. Under rather weak conditions, we propose spline-backfitted kernel estimators of the component functions for the nonlinear additive time series data that are both computationally expedient so they are usable for analyzing very high-dimensional time series, and theoretically reliable so inference can be made on the component functions with confidence. Simulation experiments have provided strong evidence that corroborates the asymptotic theory.

Full work available at URL: https://arxiv.org/abs/math/0612677

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zbMATH Keywords

variance reductionbias reductionmixingNadaraya-Watson estimatorlocal linear estimatorknotsB splinebandwidths

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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