Single-index coefficient models for nonlinear time series

DOI10.1080/10485252.2010.497554zbMATH Open1359.62389OpenAlexW1982146865MaRDI QIDQ3021174FDOQ3021174

Authors: Tracy Zhou Wu, Haiqun Lin, Yan Yu 

Publication date: 22 July 2011

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2010.497554

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• On Single-Index Coefficient Regression Models
• Spline estimation of single-index models
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• Adaptive Varying-Coefficient Linear Models

zbMATH Keywords

varying-coefficient modeldimension reductionforecastingmultivariatesmoothing parameterPS

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Semiparametric Regression
• Generalized Partially Linear Single-Index Models
• Penalized Spline Estimation for Partially Linear Single-Index Models
• Spline-Based Tests in Survival Analysis
• Quadratic Inference Functions for Varying‐Coefficient Models with Longitudinal Data
• Nonlinear Regression with Dependent Observations
• Nonlinear Regression on Cross-Section Data
• Title not available (Why is that?)
• Statistical estimation in varying coefficient models
• Nonparametric smoothing estimates of time-varying coefficient models with longitudinal data
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Functional-Coefficient Autoregressive Models
• Statistical methods with varying coefficient models
• On Single-Index Coefficient Regression Models
• Adaptive Varying-Coefficient Linear Models
• Empirical-Bias Bandwidths for Local Polynomial Nonparametric Regression and Density Estimation
• Nonparametric regression in the presence of measurement error
• Penalized spline estimation for functional coefficient regression models
• On the asymptotics of penalized splines
• Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach
• Nonlinear and Nonparametric Regression and Instrumental Variables
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Nonparametric Multistep-Ahead Prediction in Time Series Analysis
• Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
• Miscellanea. On the optimal amount of smoothing in penalised spline regression
• Theory for penalised spline regression
• Single‐Index Additive Vector Autoregressive Time Series Models

Cited In (10)

• Single‐Index Additive Vector Autoregressive Time Series Models
• Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables
• Statistical inference of time-varying single-index coefficient models for locally stationary time series
• Variable selection for single-index varying-coefficient model
• Spline estimation of single-index models
• A novel partial-linear single-index model for time series data
• Title not available (Why is that?)
• Robust exponential squared loss-based variable selection for high-dimensional single-index varying-coefficient model
• On Single-Index Coefficient Regression Models
• Robust check loss-based variable selection of high-dimensional single-index varying-coefficient model

Uses Software

• SemiPar

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