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求助文章：Truong, Y. K., and Stone, C. J., 1994. Semiparametric time series regression.

Journal Time Series Analysis 15, 405–428.

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关键词：Time Series Parametric regression regressio semipara 求助

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SEMIPARAMETRIC TIME SERIES REGRESSION

Young K. Truong ¹ Charles J. Stone ¹

  ¹ University of North Carolina

Copyright 1994 Blackwell Publishing

KEYWORDS

Nonparametric regression • local polynomial estimator • optimal rate of convergence • time series • autoregressive process

ABSTRACT

Abstract. Let (X_i, Y_i), i= 0, pL 1,… denote a bivariate stationary time series with X_i being R^d-valued and Y_i being real-valued. We consider the regression model Y_i=θ(X_i) +Z_i, where θ(·) is an unknown function and Z_i is an autoregressive process. Given a realization of length n, we examine the problem of estimating the nonparametric function θ(·) and the parametric component Z_i. Under appropriate regularity conditions, it is shown that both components can be optimally estimated.

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First version received February 1992

DIGITAL OBJECT IDENTIFIER (DOI)

10.1111/j.1467-9892.1994.tb00202.x About DOI