Nonparametric estimation in a model with a trend

DOI10.1023/A:1009993025973MaRDI QIDQ1281924zbMATH OpenFDO

Authors Yun-Min Huang, Jia Shen

Publication date 1998

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1009993025973

zbMATH Keywords

density estimationinconsistency of estimatorsnonparametric regressionnonstationaritystrongly mixing

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

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• Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
• Estimating a parametric trend component in a continuous-time jump-type process
• Differencing as an approximate de-trending device
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