On the estimation of an instantaneous transformation for time series

Yingcun XIA, Howell TONG, Wai Keung LI, Li-Xing ZHU

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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. Copyright © 2000 Royal Statistical Society.
Original languageEnglish
Pages (from-to)383-397
JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
Volume62
Issue number2
DOIs
Publication statusPublished - 2000

Fingerprint

Instantaneous
Time series
Order Selection
Autoregression
Monotonic
Monotonicity
Regression
Requirements
Order selection

Citation

Xia, Y., Tong, H., Li, W. K., & Zhu, L.-X. (2000). On the estimation of an instantaneous transformation for time series. Journal of the Royal Statistical Society, Series B: Statistical Methodology, 62(2), 383-397. doi: 10.1111/1467-9868.00238

Keywords

  • Autoregressive model
  • Autoregressive transformation
  • I‐spline
  • Monotonic function estimation
  • Order selection