Local polynomial regression smoothers with AR-error structure.

DOI10.1007/BF02595716MaRDI QIDQ1872873zbMATH OpenFDO

Authors Mario Francisco-Fernández, Juan Manuel Vilar-Fernández

Publication date 18 May 2003

Published in Test (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2183/855

zbMATH Keywords

autoregressive processeslocal polynomial fittingsimulations

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Local polynomial \(M\)-smoothers in nonparametric regression
• Local polynomial estimator of the regression function in autoregression models with errors in variables
• scientific article; zbMATH DE number 1305325
• Local linear regression for data with AR errors
• LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
• Linear minimax efficiency of local polynomial regression smoothers
• scientific article; zbMATH DE number 1779490

Cites work

• An Effective Bandwidth Selector for Local Least Squares Regression
• Bootstrap of linear model with AR-error structure
• Consistent nonparametric regression. Discussion
• Fixed design regression for time series: Asymptotic normality
• Fixed-design regression for linear time series
• scientific article; zbMATH DE number 739534 (Why is no real title available?)
• Local linear regression smoothers and their minimax efficiencies
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Local polynomial estimators of the volatility function in nonparametric autoregression
• LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
• 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 vector autoregression
• Recursive estimation of regression functions by local polynomial fitting
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Robust reconstruction of functions by the local-approximation method

Cited in

(13)

• Nonparametric regression estimation with general parametric error covariance
• Local linear regression for data with AR errors
• Weighted local nonparametric regression with dependent errors: Study of real private residential fixed investment in the USA
• Bandwidth selection for the local polynomial estimator under dependence: a simulation study
• Local polynomial estimator of the regression function in autoregression models with errors in variables
• Smoothing Time Series with Local Polynomial Regression on Time
• Local linear estimation in the presence of nonparametric AR(1) errors
• On the Uniform Strong Consistency of Local Polynomial Regression Under Dependence Conditions
• LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
• Improved local polynomial estimation in time series regression
• Data-driven local polynomial for the trend and its derivatives in economic time series
• W.F. Sheppard's Smoothing Method: A Precursor to Local Polynomial Regression
• Comments on: A review on empirical likelihood methods for regression

This page was built for publication: Local polynomial regression smoothers with AR-error structure.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1872873)