Single‐Index Additive Vector Autoregressive Time Series Models

DOI10.1111/j.1467-9469.2009.00641.xzbMath1198.62102OpenAlexW2120481695MaRDI QIDQ3552958

Marc G. Genton, Yehua Li

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 normalityspline regressionpenalized least squaresnonparametric nonlinear autoregressive model

Mathematics Subject Classification ID

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

Related Items

Forecasting in nonlinear univariate time series using penalized splines, Model averaging based on leave-subject-out cross-validation for vector autoregressions, Single-index coefficient models for nonlinear time series

Uses Software

• R
• SemiPar

Cites Work

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