Simultaneous Inference of a Partially Linear Model in Time Series
时间序列部分线性模型的同时推断
We introduce a new methodology to conduct simultaneous inference of the nonparametric component in partially linear time series regression models where the nonparametric part is a multivariate unknown function. In particular, we construct a simultaneous confidence region (SCR) for the multivariate function by extending the high-dimensional Gaussian approximation to dependent processes with continuous index sets. Our results allow for a more general dependence structure…