Non-linear time series regression

Semiparametric Regression Smoothing of Non-linear Time Series

In this paper, we consider using a semiparametric regression approach to modelling non-linear autoregressive time series. Based on a ®nite 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 pr...

Bayesian Methods in Non-linear Time Series

This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective. For each model we start by describing a baseline model and discussing possible extensions and applications. Then we review the choice of prior, inference, tests against the linear hypothesis, and conclude with models selectio...

Macroeconomics, Non-linear Time Series in

Semiparametric non-linear time series model selection

Semiparametric time series regression is often used without checking its suitability, resulting in an unnecessarily complicated model. In practice, one may encounter computational difficulties caused by the curse of dimensionality. The paper suggests that to provide more precise predictions we need to choose the most significant regressors for both the parametric and the nonparametric time seri...

Time Series Forecasting Using Distribution Enhanced Linear Regression

Amongst the wealth of available machine learning algorithms for forecasting time series, linear regression has remained one of the most important and widely used methods, due to its simplicity and interpretability. A disadvantage, however, is that a linear regression model may often have higher error than models that are produced by more sophisticated techniques. In this paper, we investigate t...