Multiple-index approach to multiple autoregressive time series model

DOI10.1007/S11222-011-9302-8zbMATH Open1322.62213OpenAlexW2057074383MaRDI QIDQ746264FDOQ746264

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

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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)

Cites Work

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• Semi-parametric estimation of partially linear single-index models
• Nonlinear time series. Nonparametric and parametric methods
• An Adaptive Estimation of Dimension Reduction Space
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• Spline estimation of single-index models
• Direction estimation in single-index regressions
• On extended partially linear single-index models
• Nonparametric vector autoregression
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• Using the Bootstrap to Select One of a New Class of Dimension Reduction Methods
• Analysis of financial time series
• Unified predictor hypothesis tests in sufficient dimension reduction: a bootstrap approach
• A semiparametric threshold model for censored longitudinal data analysis
• Dimension reduction in time series
• Impact of unknown covariance structures in semiparametric models for longitudinal data: an application to Wisconsin diabetes data

Cited In (2)

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

Uses Software

• TSA

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