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## 13 Basic nonparametric estimates

*Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger*

### in Modelling Nonlinear Economic Time Series

- Published in print:
- 2010
- Published Online:
- May 2011
- ISBN:
- 9780199587148
- eISBN:
- 9780191595387
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199587148.003.0013
- Subject:
- Economics and Finance, Econometrics

There are several books on the topics treated in this chapter. For completeness and ease of reference, in the present chapter a brief summary of some results in this area is presented. Among other ... More

## Entropy-Based Model Averaging Estimation of Nonparametric Models

*Yundong Tu*

### in Advances in Info-Metrics: Information and Information Processing across Disciplines

- Published in print:
- 2020
- Published Online:
- December 2020
- ISBN:
- 9780190636685
- eISBN:
- 9780190636722
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780190636685.003.0018
- Subject:
- Economics and Finance, Microeconomics

In this chapter, I propose a model averaging estimation of nonparametric models based on Shannon’s entropy measure. The choice of weights in the averaging estimator is implemented bya maximizing the ... More

## 11 Nonlinear and nonstationary models

*Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger*

### in Modelling Nonlinear Economic Time Series

- Published in print:
- 2010
- Published Online:
- May 2011
- ISBN:
- 9780199587148
- eISBN:
- 9780191595387
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199587148.003.0011
- Subject:
- Economics and Finance, Econometrics

Long memory, unit root models and cointegration are important in linear modelling of nonstationary processes, not the least in econometrics. Recently, nonlinear generalizations of these concepts have ... More

## Linear-Gaussian systems and signal processing

*Max A. Little*

### in Machine Learning for Signal Processing: Data Science, Algorithms, and Computational Statistics

- Published in print:
- 2019
- Published Online:
- October 2019
- ISBN:
- 9780198714934
- eISBN:
- 9780191879180
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780198714934.003.0007
- Subject:
- Mathematics, Logic / Computer Science / Mathematical Philosophy, Mathematical Physics

Linear systems theory, based on the mathematics of vector spaces, is the backbone of all “classical” DSP and a large part of statistical machine learning. The basic idea -- that linear algebra ... More

## Statistical modelling and inference

*Max A. Little*

### in Machine Learning for Signal Processing: Data Science, Algorithms, and Computational Statistics

- Published in print:
- 2019
- Published Online:
- October 2019
- ISBN:
- 9780198714934
- eISBN:
- 9780191879180
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780198714934.003.0004
- Subject:
- Mathematics, Logic / Computer Science / Mathematical Philosophy, Mathematical Physics

The modern view of statistical machine learning and signal processing is that the central task is one of finding good probabilistic models for the joint distribution over all the variables in the ... More

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