Multiple-index approach to multiple autoregressive time series model

DOI10.1007/S11222-011-9302-8MaRDI QIDQ746264zbMATH OpenOpenAlexFDO

Authors Jin-Hong Park

Publication date 16 October 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-011-9302-8

zbMATH Keywords

sufficient dimension reductionnonlinearitymultiple time series modelingtime series central subspace

Mathematics Subject Classification ID

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

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Cites work

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• Nonparametric vector autoregression
• On extended partially linear single-index models
• Semi-parametric estimation of partially linear single-index models
• Spline estimation of single-index models
• Unified predictor hypothesis tests in sufficient dimension reduction: a bootstrap approach
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Cited in

(2)

• Single‐Index Additive Vector Autoregressive Time Series Models
• Index models with integrated time series

Describes a project that uses

Uses Software

• TSA

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