Nonlinear Time Series : Nonparametric and Parametric Methods

By Klaus Krickeberg, Nanny Wermuth, S. Zeger. 2005

509 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6ef07020c590f7221110ff3b46ec4fb898e66d00

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Citations in the corpus

A constructive approach to the estimation of dimension reduction directions (2007, methodology): “Fan and Yao (2003, p.337) proposed a method, called the profile least-squares”
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS (2009, background): “, Fan and Yao (2003). A classical power analysis of an omnibus test for Ho usually involves the study of the asymptotic power against Pitman local alternatives (e.”
Factor models for matrix-valued high-dimensional time series (2016, background): “well studied, with linear models (e.g. Box and Jenkins, 1976; Brockwell and Davis, 1991; Tsay, 2005), nonlinear models (e.g. Engle, 1982; Bollerslev, 1986; Tong, 1990), and nonparametric models (e.g. Fan and Yao, 2003). Multivariate time series and panel time series, when one observes a vector or a ”
Kernel estimation of multivariate cumulative distribution function (2008, unknown): “We have not experimented with other choices of K and p due to limit of space and as these choices are in general not as crucial as that of the bandwidth, see Fan and Yao [10].”
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models (2006, background): “This series is of length 300 and is the first quarter of a longer series extensively analyzed by Finkenstädt (1995), and also studied in Fan and Yao (2003, p. 113-117), where different linear models have been proposed. Using different criteria these authors choose a linear model ARMA(1, 2) for the d”
High dimensional generalized empirical likelihood for moment restrictions with dependent data (2013, background): “tronger condition on the mixing coeﬃcients in order to control remainder terms when analyzing the asymptotic properties of the GEL estimator and the GEL ratio. If {Xt} is exponentially strong mixing (Fan and Yao, 2003) so that αX(k) ∼ k for some ∈ (0,1), then (A.1)(i) is automatically valid for any ”
NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY (2009, background): “Masry and Tjostheim 1995, 1997; Li and Wang 1998; Li 1999; Fan and Yao 2003; Gao”
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions (2014, methodology): “nference results in our paper should be very useful to the literatures on nonparametric estimation and testing of nonlinear time series models (see, e.g., Robinson (1989), Li, Hsiao, and Zinn (2003), Fan and Yao (2003), Chen (2013)). Moreover, our new exponential inequality for sums of weakly depend”