RCMinification (version 1.2)

ARlocpoly: Fit a nonlinear AR1 model using local polynomial regression

Description

This function uses local polynomial regression to nonparametrically estimate the autoregression function in a nonlinear AR1 model.

Usage

ARlocpoly(z, deg = 1, h, ...)

Value

A list containing

x

numeric vector of evaluation points.

y

numeric vector of nonparametric estimates at the values in x.

h

numeric, bandwidth

Arguments

z

numeric vector of time series observations.

deg

numeric, degree of local polynomial fit.

h

numeric, bandwidth for local polynomial estimate.

...

any other arguments taken by locpoly.

Author

L. Han and S. Snyman

References

Fan, J. and Yao, Q. (2008) Nonlinear Time Series: Nonparametric and Parametric Methods. Springer.

Examples

x <- nonlinearAR1.sim(100, g = function(x) x*sin(x),  sd = 1.5) # simulated data 
ARlocpoly(x, deg = 0, h = 0.5)