Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
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Publication:5111851
factor modelsPCAbootstrap procedurelocal linear smoothingfunctional-coefficient modelsnonlinear forecastvector auto-regression.
Factor analysis and principal components; correspondence analysis (62H25) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional data analysis (62R10)
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 472973 (Why is no real title available?)
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Covariance regularization by thresholding
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- Determining the number of factors when the number of factors can increase with sample size
- Efficient estimation for semivarying-coefficient models
- Eigenvalue ratio test for the number of factors
- Estimating the dimension of a model
- Extended Bayesian information criteria for model selection with large model spaces
- Feature selection for varying coefficient models with ultrahigh-dimensional covariates
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- Forward regression for ultra-high dimensional variable screening
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- Functional-Coefficient Regression Models for Nonlinear Time Series
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
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- Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models
- Multivariate functional-coefficient regression models for nonlinear vector time series data
- New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
- New introduction to multiple time series analysis.
- Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models
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- On a Principal Varying Coefficient Model
- On the subspaces of \(L^p\) \((p > 2)\) spanned by sequences of independent random variables
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- Simultaneous confidence band and hypothesis test in generalised varying-coefficient models
- Statistical estimation in varying coefficient models
- Statistical methods with varying coefficient models
- Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
- Testing hypotheses about the number of factors in large factor models
- Trending time-varying coefficient time series models with serially correlated errors
- UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
- Variable selection for high-dimensional generalized varying-coefficient models
- Variable selection, estimation and inference for multi-period forecasting problems
- Varying Coefficient Regression Models: A Review and New Developments
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