Functional regression of continuous state distributions

DOI10.1016/j.jeconom.2011.09.024zbMath1441.62829OpenAlexW2081800426MaRDI QIDQ738165

Junhui Qian, Joon Y. Park

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.024

zbMATH Keywords

functional regressionmoment dependencetime-varying density

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items (8)

Functional linear regression with functional response ⋮ PCA-based estimation for functional linear regression with functional responses ⋮ Functional principal component analysis for cointegrated functional time series ⋮ Cointegrated linear processes in Bayes Hilbert space ⋮ Trends in distributional characteristics: existence of global warming ⋮ Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate ⋮ Nonstationarity in time series of state densities ⋮ A moment-based notion of time dependence for functional time series

Uses Software

• fda (R)

Cites Work

• CLT in functional linear regression models
• Weak convergence in the functional autoregressive model
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Functional data analysis
• Regression Quantiles
• A family of minimax rates for density estimators in continuous time
• Bootstrap Unit Root Tests

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