Nonparametric density and regression estimation for Markov sequences without mixing assumptions

DOI10.1016/0047-259X(89)90091-2zbMath0701.62049MaRDI QIDQ914287

Sidney Yakowitz

Publication date: 1989

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

zbMATH Keywords

asymptotic normalitykernel estimatorstime seriesrandom walksstationary densityARMA processesMarkov sequencessmoothness conditionsauto-regression functionskernel auto-regression estimatorsample-driven bandwidths

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (21)

Estimating invariant laws of linear processes by \(U\)-statistics. ⋮ Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator ⋮ On bandwidth choice for density estimation with dependent data ⋮ Nonparametric inference for ergodic, stationary time series ⋮ Strong convergence of sums of \(\alpha \)-mixing random variables with applications to density estimation ⋮ OnL₁-consistency of kernel-type density estimator for stationary markov processes ⋮ Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift ⋮ Kernel density estimation under negative superadditive dependence and its application for real data ⋮ Density estimation for Markov chains ⋮ Order Choice in Nonlinear Autoregressive Models ⋮ Efficient density estimation in an AR(1) model ⋮ Nonparametric estimation of a regression function and its derivatives under an ergodic hypothesis ⋮ Nonparametric estimation of the stationary density and the transition density of a Markov chain ⋮ A local cross-validation algorithm for dependent data ⋮ Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes ⋮ Testing linearity for NARX models ⋮ Nonparametric regression for nonstationary processes ⋮ Robust kernel estimators for additive models with dependent observations ⋮ On density estimation from ergodic processes ⋮ Nearest neighbor regression estimation for null-recurrent Markov time series ⋮ Functional density estimation of the transition operator of a discrete-time Markov process.

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