Single‐Index Additive Vector Autoregressive Time Series Models

DOI10.1111/J.1467-9469.2009.00641.XMaRDI QIDQ3552958zbMATH OpenOpenAlexFDO

Authors Yehua Li, Marc G. Genton

Publication date 22 April 2010

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9469.2009.00641.x

zbMATH Keywords

asymptotic normalitynonparametric nonlinear autoregressive modelpenalized least squaresspline regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An Adaptive Estimation of Dimension Reduction Space
• Autoregressive forecasting of some functional climatic variations
• Criteria for classifying general Markov chains
• Functional data analysis.
• Functional-Coefficient Autoregressive Models
• Generalized Partially Linear Single-Index Models
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 947422 (Why is no real title available?)
• Measurement Error in Nonlinear Models
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric vector autoregression
• On the asymptotics of penalized splines
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Penalized Spline Estimation for Partially Linear Single-Index Models
• Quadratic Inference Functions for Varying‐Coefficient Models with Longitudinal Data
• Semiparametric Regression
• Spline estimation of single-index models
• Spline-Based Tests in Survival Analysis

Cited in

(8)

• A common framework for estimating multivariate autoregressive index models
• Forecasting in nonlinear univariate time series using penalized splines
• A novel partial-linear single-index model for time series data
• Model averaging based on leave-subject-out cross-validation for vector autoregressions
• SiAM: a hybrid of single index models and additive models
• Single-index coefficient models for nonlinear time series
• scientific article; zbMATH DE number 5018704 (Why is no real title available?)
• A flexible and parsimonious modelling strategy for clustered data analysis

Describes a project that uses

Uses Software

• R
• SemiPar

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