Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags
作者:
Dag Tjøstheim,
BjørnH. Auestad,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1994)
卷期:
Volume 89,
issue 428
页码: 1410-1419
ISSN:0162-1459
年代: 1994
DOI:10.1080/01621459.1994.10476880
出版商: Taylor & Francis Group
关键词: Conditional mean;Conditional variance;Final prediction error;Lag structure
数据来源: Taylor
摘要:
In this article we suggest a nonparametric procedure for selecting significant lags in the model description of a general nonlinear stationary time series. The procedure can be applied to both the conditional mean and the conditional variance and is valid for heteroscedastic series. The procedure is illustrated by simulations and sunspot data, lynx data, and blowfly data are analyzed. It is indicated that projectors can be used in conjunction with the procedure for selecting significant lags to check the adequacy of an additive time series model.
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