Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series

DOI10.1080/01621459.2017.1302339zbMath1398.62225OpenAlexW2338007889MaRDI QIDQ4962456

Degui Li, Jia Chen, Oliver B. Linton, Zu-di Lu

Publication date: 2 November 2018

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/411652/1/CLLL_JASA02062016R_14JAN2017.pdf

zbMATH Keywords

principal component analysissure independence screeningultra-high dimensional time serieskernel smoothersemiparametric approximationpenalized MAMAR

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• KernSmooth

Cites Work

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