Projection Pursuit Autoregression in Time Series

Xingcun Xia and H. Z. An

Journal of Time Series Analysis, 1999, vol. 20, issue 6, 693-714

Abstract: Projection pursuit regression is an efficient method of coping with the ‘curse of dimensionality’ in nonparametric regressions. An extension of the idea of projection pursuit regression to nonparametric autoregressions in time series is made in this paper. Some related theories are constructed.

Date: 1999
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