Skip to main content
padlock icon - secure page this page is secure

On the estimation of an instantaneous transformation for time series

Buy Article:

The full text article is temporarily unavailable.

We apologise for the inconvenience. Please try again later.

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.
No References
No Citations
No Supplementary Data
No Article Media
No Metrics

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

  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more