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On the estimation of an instantaneous transformation for time series

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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.
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Keywords: Autoregressive model; Autoregressive transformation; I-spline; Monotonic function estimation; Order selection

Document Type: Research Article

Affiliations: 1: University of Hong Kong, People’s Republic of China 2: University of Hong Kong, and Academia Sinica, Beijing, People's Republic of China

Publication date: February 1, 2000

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