An investigation of lag identification tools for vector nonlinear time series

DOI10.1080/03610920008832573zbMath1026.62091OpenAlexW2041969334MaRDI QIDQ4550648

Jane L. Harvill, Bonnie K. Ray

Publication date: 10 December 2003

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920008832573

zbMATH Keywords

nonlinear dependence

Mathematics Subject Classification ID

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

Related Items (3)

Auto-regressive moving-average discrete-time dynamical systems and autocorrelation functions on real-valued Riemannian matrix manifolds ⋮ Bahadur representation for the nonparametricM-estimator under α-mixing dependence ⋮ Functional coefficient autoregressive models for vector time series

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
• A NEW MEASURE OF RANK CORRELATION

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