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NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS

加性非线性 ARX 时间序列的非参数估计:局部线性拟合与投影

We consider the estimation and identification of the components (endogenous and exogenous) of additive nonlinear ARX time series models. We employ a local polynomial fitting scheme coupled with projections. We establish the weak consistency (with rates) and the asymptotic normality of the projection estimates of the additive components. Expressions for the asymptotic bias and variance are given.

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Additive Nonlinear ARX Time Series and Projection Estimates

加性非线性 ARX 时间序列与投影估计

We propose projections as means of identifying and estimating the components (endogenous and exogenous) of an additive nonlinear ARX model. The estimates are nonparametric in nature and involve averaging of kernel-type estimates. Such estimates have recently been treated informally in a univariate time series situation. Here we extend the scope to nonlinear ARX models and present a rigorous theory, including the derivation of asymptotic normality for the projection estimates…

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Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality

非线性 ARCH 时间序列的非参数估计与识别:强收敛和渐近正态性

We consider the estimation and identification of the functional structures of nonlinear econometric systems of the ARCH type. We employ nonparametric kernel estimates for the nonlinear functions characterizing the systems, and we establish strong consistency along with sharp rates of convergence under mild regularity conditions. We also prove the asymptotic normality of the estimates.

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