Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval

DOI10.1016/j.jmva.2014.09.017zbMath1302.62197OpenAlexW1987946366WikidataQ42984918 ScholiaQ42984918MaRDI QIDQ476245

Zhibiao Zhao, Xiao-Feng Shao, Seon Jin Kim

Publication date: 28 November 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.09.017

zbMATH Keywords

functional central limit theoremtime seriesnonparametric regressionself-normalizationconditional heteroscedasticity

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Functional limit theorems; invariance principles (60F17)

Related Items

Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models, Hypothesis testing for high-dimensional time series via self-normalization, Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series

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