A two–stage approach to additive time series models

DOI10.1111/1467-9574.00210zbMath1090.62553OpenAlexW2037516994MaRDI QIDQ4469572

Zong-Wu Cai

Publication date: 15 June 2004

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9574.00210

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Functional coefficient instrumental variables models ⋮ Trending time-varying coefficient time series models with serially correlated errors ⋮ Local polynomial estimation of nonparametric simultaneous equations models ⋮ Functional-coefficient models for nonstationary time series data ⋮ Testing predictive regression models with nonstationary regressors ⋮ Proportional functional coefficient time series models

Cites Work

• Unnamed Item
• Weak convergence for weighted empirical processes of dependent sequences
• Multivariate regression estimation: Local polynomial fitting for time series
• Direct estimation of low-dimensional components in additive models.
• Nonparametric Lag Selection for Time Series
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS
• EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS

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