On the estimation of an instantaneous transformation for time series

Y. Xia, Howell Tong, W. K. Li and L.‐X. Zhu

Journal of the Royal Statistical Society Series B, 2000, vol. 62, issue 2, 383-397

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.

Date: 2000
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