Kernel-based nonlinear canonical analysis and time reversibility

DOI10.1016/S0304-4076(03)00199-4zbMath1282.91265OpenAlexW2144048442WikidataQ56602074 ScholiaQ56602074MaRDI QIDQ2439046

Serge Darolles, Christian Gouriéroux, Jean-Pierre Florens

Publication date: 7 March 2014

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00199-4

zbMATH Keywords

kernel estimatorshigh-frequency datanonlinear canonical analysisdiffusion equationsreversibility hypothesis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84)

Related Items (11)

A versatile and robust metric entropy test of time-reversibility, and other hypotheses ⋮ Canonical analysis relative to a closed subspace ⋮ Wavelets-based estimation of nonlinear canonical analysis ⋮ A copula spectral test for pairwise time reversibility ⋮ Peaks, gaps, and time‐reversibility of economic time series ⋮ Nonparametric estimation of a scalar diffusion model from discrete time data: a survey ⋮ Assessing Time-Reversibility Under Minimal Assumptions ⋮ Noncausal counting processes: a queuing perspective ⋮ Truncated dynamics and estimation of diffusion equations ⋮ Nonlinear principal components and long-run implications of multivariate diffusions ⋮ NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION

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