Multivariate regression estimation: Local polynomial fitting for time series

1997 ◽  
Vol 30 (6) ◽  
pp. 3575-3581 ◽  
Author(s):  
Elias Masry
Keyword(s):  
Time Series ◽  
Multivariate Regression ◽  
Regression Estimation ◽  
Local Polynomial Fitting ◽  
Polynomial Fitting ◽  
Local Polynomial

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

2000 ◽  
Vol 16 (4) ◽  
pp. 465-501 ◽  
Author(s):  
Zongwu Cai ◽  
Elias Masry
Keyword(s):  
Time Series ◽  
Asymptotic Normality ◽  
Nonparametric Estimation ◽  
Time Series Models ◽  
Asymptotic Bias ◽  
Weak Consistency ◽  
Local Polynomial Fitting ◽  
Polynomial Fitting ◽  
Linear Fitting ◽  
Local Polynomial

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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