On the estimation of an instantaneous transformation for time series

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

doi:10.1111/1467-9868.00238

On the estimation of an instantaneous transformation for time series

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

Department of Mathematics and Information Technology (MIT)

Research output: Contribution to journal › Articles › peer-review

3 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 language	English
Pages (from-to)	383-397
Journal	Journal of the Royal Statistical Society. Series B: Statistical Methodology
Volume	62
Issue number	2
DOIs	https://doi.org/10.1111/1467-9868.00238
Publication status	Published - 2000

Keywords

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

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10.1111/1467-9868.00238

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On the estimation of an instantaneous transformation for time series

Abstract

Keywords

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