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Article: On the estimation of an instantaneous transformation for time series

TitleOn the estimation of an instantaneous transformation for time series
Authors
KeywordsAutoregressive model
Autoregressive transformation
L-spline
Monotonic function estimation
Order selection
Issue Date2000
PublisherWiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSB
Citation
Journal Of The Royal Statistical Society. Series B: Statistical Methodology, 2000, v. 62 n. 2, p. 383-397 How to Cite?
AbstractWe 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.
Persistent Identifierhttp://hdl.handle.net/10722/82983
ISSN
2015 Impact Factor: 4.222
2015 SCImago Journal Rankings: 7.429
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorXia, Yen_HK
dc.contributor.authorTong, Hen_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorZhu, LXen_HK
dc.date.accessioned2010-09-06T08:35:36Z-
dc.date.available2010-09-06T08:35:36Z-
dc.date.issued2000en_HK
dc.identifier.citationJournal Of The Royal Statistical Society. Series B: Statistical Methodology, 2000, v. 62 n. 2, p. 383-397en_HK
dc.identifier.issn1369-7412en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82983-
dc.description.abstractWe 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.en_HK
dc.languageengen_HK
dc.publisherWiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSBen_HK
dc.relation.ispartofJournal of the Royal Statistical Society. Series B: Statistical Methodologyen_HK
dc.subjectAutoregressive modelen_HK
dc.subjectAutoregressive transformationen_HK
dc.subjectL-splineen_HK
dc.subjectMonotonic function estimationen_HK
dc.subjectOrder selectionen_HK
dc.titleOn the estimation of an instantaneous transformation for time seriesen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1369-7412&volume=62&spage=383&epage=397&date=2000&atitle=On+the+estimation+of+an+instantaneous+transformation+for+time+seriesen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/1467-9868.00238-
dc.identifier.scopuseid_2-s2.0-0034364965en_HK
dc.identifier.hkuros49049en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0034364965&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume62en_HK
dc.identifier.issue2en_HK
dc.identifier.spage383en_HK
dc.identifier.epage397en_HK
dc.identifier.isiWOS:000086433600011-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridXia, Y=7403027730en_HK
dc.identifier.scopusauthoridTong, H=7201359749en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridZhu, LX=7404201068en_HK

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