Multiple-index approach to multiple autoregressive time series model

DOI10.1007/s11222-011-9302-8zbMath1322.62213OpenAlexW2057074383MaRDI QIDQ746264

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

nonlinearitysufficient dimension reductionmultiple time series modelingtime series central subspace

Mathematics Subject Classification ID

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

Uses Software

• TSA

Cites Work

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