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Projection Pursuit Autoregression in Time Series
Author(s) -
Xia Xingcun,
An H. Z.
Publication year - 1999
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00167
Subject(s) - projection pursuit , mathematics , nonparametric statistics , econometrics , curse of dimensionality , autoregressive model , series (stratigraphy) , projection (relational algebra) , time series , regression , nonparametric regression , statistics , algorithm , paleontology , biology
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.