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Projection Pursuit Autoregression in Time Series

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  • Xingcun Xia
  • H. Z. An

Abstract

Projection pursuit regression is an efficient method of coping with the ‘curse of dimensionality’ in nonparametric regressions. An extension of the idea of projection pursuit regression to nonparametric autoregressions in time series is made in this paper. Some related theories are constructed.

Suggested Citation

  • Xingcun Xia & H. Z. An, 1999. "Projection Pursuit Autoregression in Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(6), pages 693-714, November.
    • Handle: RePEc:bla:jtsera:v:20:y:1999:i:6:p:693-714
    DOI: 10.1111/1467-9892.00167
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    Cited by:

    1. S. Yaser Samadi & Tharindu P. De Alwis, 2023. "Fourier Methods for Sufficient Dimension Reduction in Time Series," Papers 2312.02110, arXiv.org.
    2. De Gooijer, Jan G. & Ray, Bonnie K., 2003. "Modeling vector nonlinear time series using POLYMARS," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 73-90, February.

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