Nonparametric approach to intervention time series modeling

DOI10.1080/02664763.2011.650684zbMath1473.62311OpenAlexW2041197419MaRDI QIDQ3168245

Jin-Hong Park

Publication date: 30 October 2012

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2011.650684

zbMATH Keywords

central mean subspace in time seriesevent study Nadaraya-Watson kernel estimatornonparametric intervention analysis

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Intervention analysis with nonlinear dependent noise variation
• Successive direction extraction for estimating the central subspace in a multiple-index regres\-sion
• The estimation of the order of an ARMA process
• Dimension reduction for conditional mean in regression
• Optimal smoothing in single-index models
• Selection of the order of an autoregressive model by Akaike's information criterion
• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• A Review of Nonparametric Time Series Analysis
• Using the Bootstrap to Select One of a New Class of Dimension Reduction Methods
• An Adaptive Estimation of Dimension Reduction Space
• RELATIONS BETWEEN TWO SETS OF VARIATES

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