Functional coefficient autoregressive models for vector time series

DOI10.1016/j.csda.2005.07.016zbMath1445.62227OpenAlexW2032475541MaRDI QIDQ959434

Jane L. Harvill, Bonnie K. Ray

Publication date: 11 December 2008

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

Full work available at URL: https://doi.org/10.1016/j.csda.2005.07.016

zbMATH Keywords

nonlinearitynonparametric regressionmultivariate seriessieve likelihood bootstrap test

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Nonparametric statistical resampling methods (62G09)

Related Items (7)

Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ Investigating asymptotic properties of vector nonlinear time series models ⋮ A bootstrap test for the comparison of nonlinear time series ⋮ Varying coefficient functional autoregressive model with application to the U.S. treasuries ⋮ QML estimators in linear regression models with functional coefficient autoregressive processes ⋮ Multivariate contemporaneous-threshold autoregressive models ⋮ Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables

Uses Software

• Snow
• snow

Cites Work

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• Testing and Modeling Multivariate Threshold Models
• Functional-Coefficient Regression Models for Nonlinear Time Series
• An investigation of lag identification tools for vector nonlinear time series
• Adaptive Varying-Coefficient Linear Models
• Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach
• Functional-Coefficient Autoregressive Models
• Miscellanea. A note on tests for nonlinearity in a vector time series
• Computational Science – ICCS 2005

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