Spline-backfitted kernel smoothing of nonlinear additive autoregression model

DOI10.1214/009053607000000488zbMath1129.62038arXivmath/0612677WikidataQ61865771 ScholiaQ61865771MaRDI QIDQ2473072

Publication date: 26 February 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612677

zbMATH Keywords

bias reduction; Nadaraya-Watson estimator; knots; mixing; local linear estimator; variance reduction; B spline; bandwidths

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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