Consistent estimation of a general nonparametric regression function in time series (Q2628866)

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English	Consistent estimation of a general nonparametric regression function in time series	scientific article

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scholarly article

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Consistent estimation of a general nonparametric regression function in time series (English)

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Alessio Sancetta

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Oliver B. Linton

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Journal of Econometrics

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publication date

18 July 2016

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zbMATH Keywords

kernel

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regression

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time series

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2009.02.006

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Universal schemes for prediction, gambling and portfolio selection

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On Definitions of Bounded Variation for Functions of Two Variables

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Jfon parametric time series analysis and prediction: uniform almost sure convergence of the window and jt-nn autoregression estimates

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On the almost everywhere convergence of nonparametric regression function estimates

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Nonparametric models for functional data, with application in regression, time series prediction and curve discrimination

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Limits to consistent on-line forecasting for ergodic time series

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A distribution-free theory of nonparametric regression

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KERNEL REGRESSION SMOOTHING OF TIME SERIES

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Nonparametric estimation in null recurrent time series.

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Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1

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A kernel method of estimating structured nonparametric regression based on marginal integration

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LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE

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The existence and asymptotic properties of a backfitting projection algorithm under weak conditions

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MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES

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Local Polynomial Estimation of Regression Functions for Mixing Processes

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Nonparametric regression estimation for dependent functional data: asymptotic normality

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An Intertemporal Capital Asset Pricing Model

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Nonparametric inference for ergodic, stationary time series

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Weakly convergent nonparametric forecasting of stationary time series

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Guessing the next output of a stationary process

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Asymptotic theory of weakly dependent stochastic processes

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NONPARAMETRIC ESTIMATORS FOR TIME SERIES

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On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators

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Curve Estimates

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Nonparametric estimation in Markov processes

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Weak convergence of laws on \(\mathbb R^{K}\) with common marginals

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Nearest neighbor conditional estimation for Harris recurrent Markov chains

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On Testing the Validity of Sequential Probability Forecasts

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Additive regression and other nonparametric models

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Weak convergence and empirical processes. With applications to statistics

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Identifiers

zbMATH Open document ID

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10.1016/j.jeconom.2009.02.006

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2628866

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