A robust nonparametric estimation of the autoregression function under an ergodic hypothesis

DOI10.2307/3315918zbMath0966.62024OpenAlexW1998174055MaRDI QIDQ2714932

Elias Ould Saïd, Naâmane Laïb

Publication date: 17 August 2001

Full work available at URL: https://semanticscholar.org/paper/4331dea1f9b9afadaf74718c998d710d99eca67e

zbMATH Keywords

ergodic processeskernel estimatetime series predictionmartingale differenceautoregression functionsrobust prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Sums of independent random variables; random walks (60G50)

Cites Work

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• Regression model fitting with long memory errors
• Robust nonparametric regression estimation for dependent observations
• Kernel density estimation from ergodic sample is not universally consistent
• Nonparametric regression: An up–to–date bibliography
• The uniform convergence of the nadaraya‐watson regression function estimate
• Nonparametric estimation of a regression function and its derivatives under an ergodic hypothesis
• A Note on Ergodic Processes Prediction via Estimation of the Conditional Mode Function
• Limits to consistent on-line forecasting for ergodic time series
• Robust Estimation of a Location Parameter

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