Multivariate reduced-rank nonlinear time series modeling

MaRDI QIDQ5434015zbMATH OpenFDO

Authors Ming-Chung Li, Kung-Sik Chan

Publication date 9 January 2008

zbMATH Keywords

common dynamic structureconsistencymaximum likelihood estimationnonlinear principal componentsthreshold autoregressive modelweighted least squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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Cited in

(5)

• A note on rank reduction in sparse multivariate regression
• Modeling Multivariate Time Series on Manifolds with Skew Radial Basis Functions
• Reduced rank models for multiple time series
• Nonparametric and Non-Linear Models and Data Mining in time Series: A Case-Study on the Canadian Lynx Data
• Dimensionality reduction in multivariate nonparametric regression via nuclear norm penalization

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