Nonlinear ARMA models with functional MA coefficients

DOI10.1111/J.1467-9892.2008.00594.XzbMATH1199.62019OpenAlexW2128869779MaRDI QIDQ3552863FDOQ3552863

Authors Hai-Bin Wang

Publication date 22 April 2010

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2008.00594.x

zbMATH Keywords

bootstraptime serieslocal linear regressiongeneralized cross-validationbilinear modelback-fitting algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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Cites work

• scientific article; zbMATH DE number 3742451 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• scientific article; zbMATH DE number 3279646 (Why is no real title available?)
• Asymptotic properties of backfitting estimators
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• Bootstrap in moving average models
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• Fitting a bivariate additive model by local polynomial regression
• Functional-Coefficient Autoregressive Models
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Nonlinear time series. Nonparametric and parametric methods
• On the first-order bilinear time series model
• On the invertibility of time series models
• Recent developments in bootstrapping time series
• Robust Locally Weighted Regression and Smoothing Scatterplots
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Threshold models in non-linear time series analysis

Cited in

(8)

• Tensorial products of functional ARMA processes
• The stationarity and invertibility of a class of nonlinear ARMA models
• A generalization of the ARIMA model to the nonlinear and continuous cases
• Adding data process feedback to the nonlinear autoregressive model
• On the complex dynamics of functional-coefficients nonlinear autoregressive time series models
• Bayesian inference of autoregressive and functional-coefficient moving average models
• A class of nonparametric ARMA models
• Functional coefficient autoregressive models: estimation and tests of hypotheses

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