Nonlinear Time Series

By Jianqing Fan. 2003

724 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f11715823d0585848cb7f548b071ad5fb43a9ff3

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In Artificial Intelligence

Citations in the corpus

A Smoothed Least Squares Estimator for Threshold Regression Models (2007, methodology): “Our development allows for time series data, a special case being the threshold autoregression of Tong (1983,1990).”
STRONG INVARIANCE PRINCIPLES FOR DEPENDENT RANDOM VARIABLES (2007, background): “The class of causal processes is huge and it includes a variety of nonlinear time series models (Priestley [46], Tong [59] and Stine [53]).”
Strong approximation for a class of stationary processes (2009, methodology): “Bilinear models In this paragraph, we use the same introduction of bilinear models as Fan and Yao [12], pp 184–185.”
Testing Many Moment Inequalities (2013, background): “For example, one of the main classes of partially identified models arise from problems of estimating games with multiple equilibria, and even relatively simple static games typically produce a large set of moment inequalities; see, for example, Theorem 1 in Galichon and Henry (2011). More complicat”
On Markov chain Monte Carlo methods for tall data (2015, background): “Then, under weak assumptions, see e.g. (Douc et al. , 2014, Theorem 7.32), the following central limit theorem holds for suitable test functions h where convergence is in distribution.”
Local Gaussian correlation: A new measure of dependence (2013, background): “21(i) of Fan and Yao (2003). Those theorems are formulated for a scalar process, whereas n− 2 ∂ ∂θQn(θb) is a five-dimensional quantity.”
Asymptotic results for the empirical process of stationary sequences (2009, neutral): “[55,65,67]) as an immediate consequence of their “forward” dynamics, for example their definition by a stochastic recurrence equation.”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, result): “3), ABD estimate βj to be not significant and negative, and a very similar conclusion has been reached by Forsberg and Ghysels (2007), Giot and Laurent (2007) and Busch et al.”