Nonparametric function estimation for time series by local average estimators

DOI10.1214/AOS/1176349163MaRDI QIDQ688404zbMATH OpenOpenAlexFDO

Authors Lanh Tat Tran

Publication date 2 December 1993

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176349163

zbMATH Keywords

stationary time seriessup-normconditional mean functiondependence assumptionlocal average estimatorsoptimal rate of weak convergencestrong mixing property in the locally transitive sense

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(26)

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• Consistency of modified kernel regression estimation for functional data
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• Robust kernel estimators for additive models with dependent observations
• Adaptive deep learning for nonlinear time series models
• Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
• Fixed-design regression for linear time series
• On uniform consistent estimators for convex regression
• Efficient prediction for linear and nonlinear autoregressive models
• Nonparametric function estimation involving time series
• Local polynomial fitting under association
• \(k\)-nearest neighbor estimation of inverse-density-weighted expectations with dependent data
• Minimum distance regression-type estimates with rates under weak dependence
• Consistent estimation of a general nonparametric regression function in time series
• Nonparametric regression estimation for dependent functional data: asymptotic normality
• On asymptotic behavior of Nadaraya-Watson regression estimator

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