The Annals of Statistics
- Ann. Statist.
- Volume 35, Number 6 (2007), 2474-2503.
Spline-backfitted kernel smoothing of nonlinear additive autoregression model
Application of nonparametric and semiparametric regression techniques to high-dimensional time series data has been hampered due to the lack of effective tools to address the “curse of dimensionality.” Under rather weak conditions, we propose spline-backfitted kernel estimators of the component functions for the nonlinear additive time series data that are both computationally expedient so they are usable for analyzing very high-dimensional time series, and theoretically reliable so inference can be made on the component functions with confidence. Simulation experiments have provided strong evidence that corroborates the asymptotic theory.
Ann. Statist. Volume 35, Number 6 (2007), 2474-2503.
First available in Project Euclid: 22 January 2008
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 62G08: Nonparametric regression
Wang, Li; Yang, Lijian. Spline-backfitted kernel smoothing of nonlinear additive autoregression model. Ann. Statist. 35 (2007), no. 6, 2474--2503. doi:10.1214/009053607000000488. http://projecteuclid.org/euclid.aos/1201012969.