Semiparametric Regression Smoothing of Non-linear Time Series
نویسنده
چکیده
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 presented to support the large sample study.
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