Model and Variable Selection Procedures for Semiparametric Time Series Regression

Figure 1

Simulation data with (a) 𝑛=50 and 𝜌=0.5, (b) 𝑛=100 and 𝜌=0.5, (c) 𝑛=200 and 𝜌=0.5. The dotted lines represent 𝛼(𝑡); the solid lines 𝛼(𝑡)+𝜀(𝑡).

(a)

(b)

(c)