Bootstrap inference in local polynomial regression of time series

DOI10.1007/S10260-006-0027-3MaRDI QIDQ1001747zbMATH OpenOpenAlexFDO

Authors Maria Lucia Parrella, Cosimo Damiano Vitale

Publication date 24 February 2009

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-006-0027-3

zbMATH Keywords

\(\alpha\)-mixing processeslocal bootstraplocal polynomial fittingnonparametric regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric statistical resampling methods (62G09) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Bootstrap of kernel smoothing in nonlinear time series
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 739534 (Why is no real title available?)
• Local bootstrap
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Mixing: Properties and examples
• Multivariate local polynomial fitting for martingale nonlinear regression models
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Multivariate locally weighted least squares regression
• Multivariate regression estimation: Local polynomial fitting for time series
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• Regression-type inference in nonparametric autoregression
• The local bootstrap for kernel estimators under general dependence conditions

Cited in

(6)

• Regression-type inference in nonparametric autoregression
• Bootstrapping local polynomial estimators in likelihood-based models
• Bootstrapping regression models with locally stationary disturbances
• scientific article; zbMATH DE number 1070513 (Why is no real title available?)
• A MARKOVIAN LOCAL RESAMPLING SCHEME FOR NONPARAMETRIC ESTIMATORS IN TIME SERIES ANALYSIS
• Online-SVR-compensated nonlinear generalized predictive control for hypersonic vehicles

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