Faculty Candidate Seminar: Spline-Backfitted Kernel Smoothing of Additive Models in Time Series

GUEST LECTURER
Lily Wang: Faculty candidate

AFFILIATION
Michigan State University

ABSTRACT
Application of non- and semi parametric regression techniques to high dimensional time series data have been hampered due to the lack of effective tools to address the ''curse of dimensionality''. Under rather weak conditions, we propose a spline-backfitted kernel estimator of the component functions for the nonlinear additive time series data that is both computationally expedient so it is usable for analyzing very high dimensional time series, and theoretically reliable so inference can be made on the component functions with confidence. Simulation experiments have provided strong evidence that corroborates with the asymptotic theory. Finally, the estimation procedure has been illustrated by a US unemployment rate example.

Keywords and phrases: Bandwidths, B-spline, knots, Nadaraya-Watson estimator, nonparametric regression