Title :
Projection pursuit autoregression and projection pursuit moving average
Author_Institution :
Dept. Appl. Math., Northwestern Polytech. Univ., Shaanxi, China
Abstract :
Projection pursuit autoregression (MPPAR) and projection pursuit moving average (MPPMA) with multivariate polynomials as ridge functions in both cases are proposed in this paper. The L2-convergence of the methods is proved. This paper also proposes two new algorithms for MPPAR and MPPMA. By using the methods, we establish the mathematical models about the Wolfer sunspot data and Canadian lynx data
Keywords :
autoregressive processes; convergence of numerical methods; moving average processes; polynomials; Canadian lynx data; L2-convergence; Wolfer sunspot data; multivariate polynomials; projection pursuit autoregression; projection pursuit moving average; ridge functions; Analysis of variance; Data analysis; Mathematical model; Polynomials; Scattering; White noise;
Conference_Titel :
Information Theory and Statistics, 1994. Proceedings., 1994 IEEE-IMS Workshop on
Conference_Location :
Alexandria, VA
Print_ISBN :
0-7803-2761-6
DOI :
10.1109/WITS.1994.513906
