Spline-backfitted kernel smoothing of nonlinear additive autoregression model
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Publication:2473072
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.
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