Nonparametric estimation of additive nonlinear arx time series: Local linear fitting and projections

Econometric Theory

Volumn 16, Issue 4, 2000, Pages 465-501

  Cai, Zongwu ^a   Masry, Elias ^b  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034413174     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466600164011     Document Type: Article

References (11)

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2. Chen, R. & R. Tsay (1993) Nonlinear additive ARX models. Journal of the American Statistical Association 88, 310-320.
3. Cleveland, W.S. (1979) Robust locally weighted regression and smoothing scatterplots. Journal of the American Statistical Association 74, 829-836.
4. Fan, J. (1992) Design-adaptive nonparametric regression. Journal of the American Statistical Association 87, 998-1004.
5. Fan, J. (1993) Local linear regression smoothers and their minimax efficiency. Annals of Statistics 21, 196-216.
6. Fan, J. & I. Gijbels (1995) Data driven bandwidth selection in local polynomial fitting: Variable bandwidth spatial adaptation. Journal of the Royal Statistical Society, Series D 57, 371-394.
7. Fan, J. & I. Gijbels (1996) Local Polynomial Modeling and Its Applications. London: Chapman and Hall.
8. Fan, J., W. Härdle, & E. Mammen (1998) Direct estimation of low dimensional components in additive models. Annals of Statistics 26, 943-971.
9. Friedman, J. (1991) Multivariate adaptive regression splines (with discussion). Annals of Statistics 19, 1-141.
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11. Hall, P. & C.C. Heyde (1980) Martingale Limit Theory and Its Applications. New York: Academic Press.