Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
DOI10.1111/jtsa.12511zbMath1447.62102WikidataQ126787337 ScholiaQ126787337MaRDI QIDQ5111851
Wenyang Zhang, Degui Li, Jiraroj Tosasukul
Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12511
factor models; PCA; local linear smoothing; bootstrap procedure; functional-coefficient models; nonlinear forecast; vector auto-regression.
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)
62R10: Functional data analysis
62P05: Applications of statistics to actuarial sciences and financial mathematics
62J02: General nonlinear regression
