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On the estimation of an instantaneous transformation for time series
Author(s) -
Xia Y.,
Tong H.,
Li W. K.,
Zhu L.X.
Publication year - 2000
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00238
Subject(s) - monotonic function , series (stratigraphy) , transformation (genetics) , estimation , autoregressive model , computer science , selection (genetic algorithm) , time series , algorithm , mathematical optimization , mathematics , econometrics , artificial intelligence , machine learning , engineering , mathematical analysis , paleontology , biochemistry , chemistry , systems engineering , biology , gene
We modify Ramsay's algorithm for estimating monotonic transformations in regression and extend it to autoregression, where strict monotonicity is an essential requirement. Compared with other methods, our method can capture some characteristics that are pertinent to the time series and is much easier to implement. An order selection method is introduced and developed. Some real data sets are analysed.