Functional coefficient autoregressive models for vector time series

Computational Statistics and Data Analysis

Volumn 50, Issue 12, 2006, Pages 3547-3566

  Harvill, Jane L ^a   Ray, Bonnie K ^b  

^a MISSISSIPPI STATE UNIVERSITY   (United States)

^b IBM T J WATSON RESEARCH CENTER   (United States)

Author keywords

Multivariate series; Nonlinearity; Nonparametric regression; Sieve likelihood bootstrap test

Indexed keywords

COMPUTATIONAL METHODS; COMPUTER SIMULATION; MATHEMATICAL MODELS; MULTIVARIABLE SYSTEMS; PARAMETER ESTIMATION; REGRESSION ANALYSIS;

FUNCTIONAL COEFFICIENT AUTOREGRESSIVE (FCAR); MULTIVARIATE SERIES; NONLINEARITY; NONPARAMETRIC REGRESSION; SIEVE LIKELIHOOD BOOTSTRAP TEST;

TIME SERIES ANALYSIS;

EID: 33646945927     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2005.07.016     Document Type: Article

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