Bootstrap of kernel smoothing in nonlinear time series

MaRDI QIDQ1611560zbMATH OpenFDO

Authors Jürgen Franke, Jens-Peter Kreiß, Enno Mammen

Publication date 9 March 2003

Published in Bernoulli (Search for Journal in Brave)

zbMATH Keywords

bandwidth selectionbootstrapkernel estimateslocal polynomial estimatesnonparametric heteroscedastic autoregressionnonparametric time series

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(37)

• Bootstrap inference in local polynomial regression of time series
• Approximate regenerative-block bootstrap for Markov chains
• An overview of bootstrap methods for estimating and predicting in time series
• Bootstrapping nonparametric estimators of the volatility function.
• Regression-type inference in nonparametric autoregression
• The local bootstrap for Markov processes
• A goodness-of-fit test for Poisson count processes
• Time series clustering based on nonparametric multidimensional forecast densities
• Testing for the presence of jump components in jump diffusion models
• Kernel estimates of nonparametric functional autoregression models and their bootstrap approximation
• The application of kernel smoothing to time series data
• Long-range dependent time series specification
• Non-linear time series clustering based on non-parametric forecast densities
• Bootstrapping the nonparametric ARCH regression model
• On the detection of changes in autoregressive time series. II: Resampling procedures
• An adaptive empirical likelihood test for parametric time series regression models
• Nonparametric simultaneous testing for structural breaks
• Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• Regeneration-based statistics for Harris recurrent Markov chains
• Nonparametric bootstrap in heterokedastic time series.
• An updated review of goodness-of-fit tests for regression models
• A loss function approach to model specification testing and its relative efficiency
• Bootstrap Methods for Time Series
• scientific article; zbMATH DE number 1392476 (Why is no real title available?)
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
• Bootstrap with larger resample size for root-\(n\) consistent density estimation with time series data
• On geometric ergodicity of CHARME models
• The impact of bootstrap methods on time series analysis
• Double smoothing local linear estimation in nonlinear time series
• Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap
• Bootstrap prediction inference of nonlinear autoregressive models
• Regenerative bootstrap for -null recurrent Markov chains
• Bootstrap methods for dependent data: a review
• Estimation of nonlinear autoregressive models using design-adapted wavelets
• Regenerative block-bootstrap for Markov chains
• Sieve bootstrap for smoothing in nonstationary time series

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