Functional coefficient autoregressive models for vector time series

Authors:
Jane L. Harvill;Bonnie K. Ray
Affiliations:
Department of Mathematics and Statistics, Mississippi State University, Mississippi State, Mississippi, 39762-9715, USA;Department of Mathematical Sciences, IBM T.J. Watson Research Center, Yorktown Heights, New York 10598, USA
Venue:
Computational Statistics & Data Analysis
Year:
2006

Citing 1
Cited 7

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Abstract

We extend the functional coefficient autoregressive (FCAR) model to the multivariate nonlinear time series framework. We show how to estimate parameters of the model using kernel regression techniques, discuss properties of the estimators, and provide a bootstrap test for determining the presence of nonlinearity in a vector time series. The power of the test is examined through extensive simulations. For illustration, we apply the methods to a series of annual temperatures and tree ring widths. Computational issues are also briefly discussed.