Semiparametric Non-Linear Time Series Model Selection

DOI10.1111/j.1369-7412.2004.05303.xzbMath1062.62175OpenAlexW2135657065MaRDI QIDQ4665849

Howell Tong, J. T. Gao

Publication date: 11 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1369-7412.2004.05303.x

zbMATH Keywords

model selectionlinear modelsemiparametric regressionnonlinear time seriesvariable selectionstrictly stationary processmixing process

Mathematics Subject Classification ID

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

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Cites Work

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• Multivariate regression estimation: Local polynomial fitting for time series
• Model specification tests in nonparametric stochastic regression models
• Asymptotic normality of pseudo-LS estimator for partly linear autoregression models
• Nonparametric Lag Selection for Time Series
• Semiparametric Regression Smoothing of Non-linear Time Series
• An Adaptive Estimation of Dimension Reduction Space
• Data-Driven Model Choice in Multivariate Nonparametric Regression

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