Nonlinear ARMA models with functional MA coefficients

DOI10.1111/J.1467-9892.2008.00594.XzbMATH Open1199.62019OpenAlexW2128869779MaRDI 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

Recommendations

• A class of nonparametric ARMA models
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Functional coefficient autoregressive models: estimation and tests of hypotheses
• Functional-Coefficient Autoregressive Models
• On probabilistic properties of nonlinear \(\text{ARMA}(p,q)\) models

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)

Cites Work

• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Robust Locally Weighted Regression and Smoothing Scatterplots
• On the invertibility of time series models
• Nonlinear time series. Nonparametric and parametric methods
• Estimating Optimal Transformations for Multiple Regression and Correlation
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bootstrap Methods for Time Series
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Functional-Coefficient Autoregressive Models
• Recent developments in bootstrapping time series
• Threshold models in non-linear time series analysis
• Fitting a bivariate additive model by local polynomial regression
• Title not available (Why is that?)
• Title not available (Why is that?)
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Asymptotic properties of backfitting estimators
• Bootstrap in moving average models
• On the first-order bilinear time series model
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS

Cited In (7)

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

This page was built for publication: Nonlinear ARMA models with functional MA coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3552863)