Nonparametric approach to intervention time series modeling

Jin-Hong Park

Journal of Applied Statistics, 2012, vol. 39, issue 7, 1397-1408

Abstract: Time series are often affected by interventions such as strikes, earthquakes, or policy changes. In the current paper, we build a practical nonparametric intervention model using the central mean subspace in time series. We estimate the central mean subspace for time series taking into account known interventions by using the Nadaraya--Watson kernel estimator. We use the modified Bayesian information criterion to estimate the unknown lag and dimension. Finally, we demonstrate that this nonparametric approach for intervened time series performs well in simulations and in a real data analysis such as the Monthly average of the oxidant .

Date: 2012
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DOI: 10.1080/02664763.2011.650684

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