SNP: Nonparametric Time Series Analysis
A. Ronald Gallant · The New Palgrave Dictionary of Economics · 2008
SNP is a method of multivariate nonparametric time series analysis. SNP is an abbreviation of ‘seminonparametric’ which was introduced by Gallant and Nychka (1987) to suggest the notion of a statistical inference methodology that lies halfway between parametric and nonparametric inference. The method employs an expansion in Hermite functions to approximate the conditional density of a multivariate process.