Journal of Time Series Analysis · 1999 · 39 citations · 0 references
ComputingData ScienceEconometricsForecastingTime Series AnalysisDimensionality ReductionNonparametric EconometricsTime Series EconometricsTime Series ForecastingTime Series ModelingTime Series PredictionAutoregressive ModelsAutoregressive ProcessesAutoregressive Time Series ModelsHigh-dimensional Time Series AnalysisNonparametric EstimationNonparametric RegressionNonparametric Time Series ModelsProjection Pursuit
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.