Nonparametric estimation equations for time series data.

DOI10.1016/S0167-7152(03)00042-7MaRDI QIDQ1423228zbMATH OpenOpenAlexFDO

Authors Zongwu Cai

Publication date 14 February 2004

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

Full work available at URL https://doi.org/10.1016/s0167-7152(03)00042-7

zbMATH Keywords

\(\alpha\)-mixingfittingRobustnessNonlinear time seriesLocal linearContinuous and discrete dataEstimation equations

Mathematics Subject Classification ID

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

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Cited in

(20)

• Central limit theorems for nonparametric estimators with real-time random variables
• Local quasi-likelihood approach to varying-coefficient discrete-valued time series models
• Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data
• NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Generalized smoothed estimating functions for nonlinear time series.
• Nonparametric regression estimation in a null recurrent time series
• A weighted sieve estimator for nonparametric time series models with nonstationary variables
• Local polynomial estimation of nonparametric general estimating equations
• Local M-estimator for nonparametric time series.
• A parameter-driven logit regression model for binary time series
• Nonparametric estimation of dynamic discrete choice models for time series data
• Local information theoretic methods for smooth coefficients dynamic panel data models
• Consistent estimator of nonparametric structural spurious regression model for high frequency data
• Semiparametric regression for time series of counts
• Pricing kernel estimation: a local estimating equation approach
• On the nonparametric smooth estimation of the reversed hazard rate function
• Nonparametric multidimensional fixed effects panel data models
• Estimation of non-smooth non-parametric estimating equations models with dependent data
• Estimation of Nonparametric Autoregressive Time Series Models Under Dynamical Constraints

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