A surveillance procedure for random walks based on local linear estimation

DOI10.1080/10485250903082414MaRDI QIDQ3569204zbMATH OpenOpenAlexFDO

Authors Ansgar Steland

Publication date 18 June 2010

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250903082414

zbMATH Keywords

change pointinvariance principlenon-standard asymptoticsnonparametric regressionsequential analysisweak dependence

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(3)

• Detection of stationary errors in multiple regressions with integrated regressors and cointegration
• Asymptotics for p-value based threshold estimation in regression settings
• Sequential data-adaptive bandwidth selection by cross-validation for nonparametric prediction

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