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

DOI10.1080/01621459.2017.1302339zbMath1398.62225MaRDI QIDQ4962456

Oliver B. Linton, Jia Chen, Degui Li, 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 analysis; sure independence screening; ultra-high dimensional time series; kernel smoother; semiparametric approximation; penalized MAMAR

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Uses Software

• KernSmooth