Estimating conditional heteroscedastic nonlinear autoregressive model by using smoothing spline and penalized spline methods
We propose smoothing spline (SS) and penalized spline (PS) methods in a class of nonparametric regression methods for estimating the unknown functions in a conditional heteroscedastic nonlinear autoregressive (CHNLAR) model. The CHNLAR model consists of a trend and heteroscedastic functions in ter...
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| Format: | Article |
| Language: | English |
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Prince of Songkla University
2019-08-01
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| Series: | Songklanakarin Journal of Science and Technology (SJST) |
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| Online Access: | https://rdo.psu.ac.th/sjstweb/journal/41-4/14.pdf |