Modeling vector nonlinear time series using POLYMARS

DOI10.1016/S0167-9473(02)00123-8zbMath1429.62390MaRDI QIDQ951846

Bonnie K. Ray, Jan G. De Gooijer

Publication date: 4 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

predictionsplinesmodel selectionnonlinearitymultivariate time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models ⋮ Functional coefficient autoregressive models for vector time series ⋮ Boosting nonlinear additive autoregressive time series

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