Dimension reduction transfer function model

DOI10.1080/00949655.2010.519704MaRDI QIDQ5300738zbMATH OpenOpenAlexFDO

Authors Jin-Hong Park

Publication date 28 June 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2010.519704

zbMATH Keywords

central mean subspace in time seriesdimension reductionNadaraya-Watson kernel smoothernonlinear time seriestransfer function model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cites work

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Cited in

(3)

• Dimension reduction in time series
• Reduction of a Transfer Function via an Observability Matrix
• Dimension reduction in time series under the presence of conditional heteroscedasticity

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