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Projection Pursuit Autoregression in Time Series
Journal Of Time Series AnalysisPeer ReviewedXia Xingcun +11999Journals
Projection pursuit regression is an efficient method of coping with the ‘curse of dimensionality’ in nonparametric regressions. An extension of the idea of projection pursuit regression to nonparametric autoregressions in time series is made in this paper. Some related theories are constructed.

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