Projection pursuit autoregression and projection pursuit moving average

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 L/sub 2/-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.