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Activity Number: 42
Type: Invited
Date/Time: Sunday, August 2, 2009 : 4:00 PM to 5:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #302892
Title: Simultaneous Confidence Band for Nonlinear Additive Autoregression Model via Spline-Backfitted Spline Smoothing
Author(s): Qiongxia Song*+ and Lijian Yang
Companies: Michigan State University and Michigan State University
Address: Dept. of Statistics, Wells Hall A413, East Lansing, MI, 48824,
Keywords: B spline ; confidence band ; knots ; mixing ; oracle efficiency
Abstract:

Under weak conditions of smoothness and mixing, we propose spline-backfitted spline estimators of the component functions for the nonlinear additive time series data that is both computationally expedient for analyzing high dimensional large time series, and theoretically reliable as the estimator is oracally efficient and comes with asymptotically simultaneous confidence band. Simulation experiments have provided strong evidence that corroborates with the asymptotic theory.

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