Additive Nonlinear ARX Time Series and Projection Estimates

We propose projections as means of identifying and estimating the components (endogenous and exogenous) of an additive nonlinear ARX model. The estimates are nonparametric in nature and involve averaging of kernel-type estimates. Such estimates have recently been treated informally in a univariate time series situation. Here we extend the scope to nonlinear ARX models and present a rigorous theory, including the derivation of asymptotic normality for the projection estimates under a precise set of regularity conditions.