Estimating error correlation in nonparametric regression

DOI10.1016/0167-7152(93)90219-9MaRDI QIDQ1314711zbMATH OpenOpenAlexFDO

Authors Naomi S. Altman

Publication date 7 March 1994

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/1813/31596

zbMATH Keywords

time seriesautocorrelationkernel smoothingmethod of momentsbandwidthcorrelated errorsconsistentasymptotically normalhigh order asymptotic expansionestimates of error correlationskernel nonparametric regression

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• An iterated cochrane-orcutt procedure for nonparametric regression
• Nonparametric curve estimation with time series errors

Cited in

(11)

• Nonparametric detection of correlated errors
• A Simple Estimator of Error Correlation in Non-parametric Regression Models
• Correlation extrapolated
• Two tests for heterocedasticity in nonparametric regression
• Nonparametric regression with correlated errors.
• Kernel regression estimates of growth curves using nonstationary correlated errors
• The reproducing kernel Hilbert space approach in nonparametric regression problems with correlated observations
• Asymptotic theory for time series with changing mean and variance
• Autoregressive coefficient estimation in nonparametric analysis
• Estimating nonlinear additive models with nonstationarities and correlated errors
• Plug-in bandwidth selector for local polynomial regression estimator with correlated errors

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