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Partially Linear Time Series Models

  • Wolfgang Härdle
  • Hua Liang
  • Jiti Gao
Part of the Contributions to Statistics book series (CONTRIB.STAT.)

Abstract

Previous chapters considered the partially linear models in the framework of independent observations. The independence assumption can be reasonable when data are collected from a human population or certain measurements. However, there are classical data sets such as the sunspot, lynx and the Australian blowfly data where the independence assumption is far from being fulfilled. In addition, recent developments in semiparametric regression have provided a solid foundation for partially time series analysis. In this chapter, we pay attention to partially linear time series models and establish asymptotic results as well as small sample studies.

Keywords

Autoregressive Model Little Square Estimator Semiparametric Regression Canadian Lynx Linear Regressor 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2000

Authors and Affiliations

  • Wolfgang Härdle
    • 1
  • Hua Liang
    • 2
  • Jiti Gao
    • 3
  1. 1.Institut für Statistik und ÖkonometrieHumboldt-Universität zu BerlinBerlinGermany
  2. 2.Frontier Science & Technology Research FoundationHarvard School of Public HealthCestnut HillUSA
  3. 3.Department of Mathematics and StatisticsThe University of Western AustraliaNedlandsAustralia

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