Multivariate functional-coefficient regression models for nonlinear vector time series data

DOI10.1093/biomet/asu011zbMath1334.62101OpenAlexW2136702718MaRDI QIDQ3191473

Jiancheng Jiang

Publication date: 2 October 2014

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asu011

zbMATH Keywords

heteroscedasticitymultivariate time serieslocal linear smootherfunctional-coefficient matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02)

Related Items

Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients, Model averaging based on leave-subject-out cross-validation for vector autoregressions, Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables