Short‐term forecasting with a computationally efficient nonparametric transfer function model

DOI10.1111/anzs.12394OpenAlexW4385495919MaRDI QIDQ6139767

No author found.

Publication date: 19 December 2023

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/anzs.12394

zbMATH Keywords

time seriesnonparametric smoothingbackfittingARIMA modelshort-term electricity forecasting

Mathematics Subject Classification ID

Linear inference, regression (62Jxx) Inference from stochastic processes (62Mxx) Nonparametric inference (62Gxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Factor modeling for high-dimensional time series: inference for the number of factors
• Nonparametric transfer function models
• Threshold models in non-linear time series analysis
• Functional coefficient seasonal time series models with an application of Hawaii tourism data
• Data-driven bandwidth choice for density estimation based on dependent data
• The use of polynomial splines and their tensor products in multivariate function estimation. (With discussion)
• Multivariate regression estimation: Local polynomial fitting for time series
• Local asymptotics for polynomial spline regression
• Local asymptotics for regression splines and confidence regions
• Nonlinear time series. Nonparametric and parametric methods
• Threshold factor models for high-dimensional time series
• Optimal smoothing in single-index models
• Spline-backfitted kernel smoothing of nonlinear additive autoregression model
• Nonparametric time series prediction: A semi-functional partial linear modeling
• Regime-switching factor models for high-dimensional time series
• Efficiency of Weighted Average Derivative Estimators and Index Models
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Modeling Multiple Times Series with Applications
• Nonparametric spline regression with autoregressive moving average errors
• Nonlinear Modeling of Time Series Using Multivariate Adaptive Regression Splines (MARS)
• Further analysis of the data by Akaike's information criterion and the finite corrections
• Additive Nonparametric Regression With Autocorrelated Errors
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Nonlinear transfer functions
• Generalized Partially Linear Single-Index Models
• More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
• On Single-Index Coefficient Regression Models
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Adaptive Varying-Coefficient Linear Models
• Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach
• The Forecasting Performance of a Finite Mixture Regime‐Switching Model for Daily Electricity Prices
• Functional-Coefficient Autoregressive Models
• A practical guide to splines.

This page was built for publication: Short‐term forecasting with a computationally efficient nonparametric transfer function model