Modeling vector nonlinear time series using POLYMARS

DOI10.1016/S0167-9473(02)00123-8MaRDI QIDQ951846zbMATH OpenFDO

Authors B. K. Ray, Jan G. De Gooijer

Publication date 4 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-9473(02)00123-8

zbMATH Keywords

model selectionmultivariate time seriesnonlinearitypredictionsplines

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(5)

• Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models
• Nonlinear modelling of periodic threshold autoregressions using Tsmars
• Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors
• Functional coefficient autoregressive models for vector time series
• Boosting nonlinear additive autoregressive time series

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