Semiparametric ARX Neural-Network Models with an Application to Forecasting Inflation

We examine semiparametric nonlinear autoregressive models with exogenous variables (NLARX) via three classes of artificial neural networks: the first one uses smooth sigmoid activation functions; the second one uses radial basis activation functions; and the third one uses ridgelet activation functions. We provide root mean squared error convergence rates for these ANN estimators of the conditional mean and median functions with stationary …