sharpARlocpoly: Fit a nonlinear AR1 model using local polynomial regression and data sharpening
Description
This function uses local polynomial regression to nonparametrically estimate
the autoregression function in a nonlinear AR1 model, after employing
data sharpening on the responses.
Usage
sharpARlocpoly(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.
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 ARlocpoly.
Author
L. Han and S. Snyman
References
Choi, E., Hall, P. and Rousson, V. (2000) Data Sharpening Methods
for Bias Reduction in Nonparametric Regression. Annals of Statistics
28(5):1339-1355.