Abstract
In this paper, we consider using a semiparametric regression approach to modelling non-linear autoregressive time series. Based on a finite series approximation to non-parametric components, an adaptive selection procedure for the number of summands in the series approximation is proposed. Meanwhile, a large sample study is detailed and a small sample simulation for the Mackey-Glass system is presented to support the large sample study.
| Original language | English |
|---|---|
| Pages (from-to) | 521-539 |
| Number of pages | 19 |
| Journal | Scandinavian Journal of Statistics |
| Volume | 25 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 1 Jan 1998 |
Keywords
- Non-linear time series
- Partly linear additive autoregressive model
- Semiparametric regression smoothing
- α-mixing