NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME
SERIES: LOCAL LINEAR FITTING AND PROJECTIONS
Keyword(s):
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.
2010 ◽
Vol 59
(2)
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pp. 737-744
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1997 ◽
Vol 30
(6)
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pp. 3575-3581
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1996 ◽
Vol 65
(1)
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pp. 81-101
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2021 ◽
1998 ◽
Vol 50
(4)
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pp. 729-754
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1995 ◽
Vol 57
(2)
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pp. 371-394
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