Nonparametric statistics for stochastic processes
asymptotic normalitycontinuous-time processescoupling techniquesdensity estimationdependence structurediscrete-time processesinequalitiesirregular pathskernel estimatorsmean square errormixing processesnonparametric predictionoptimal asymptoticsprediction of Markov processesquadratic errorsrandom regressorsregression functionssuperoptimalityuniform almost sure convergence
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Density estimation (62G07) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)
The book contains a large number of known and recent results on nonparametric estimation of densities and regression functions for stochastic processes in discrete and continuous time. Kernel estimates for regression functions are applied to the nonparametric prediction problem. To describe the dependence structure in a stochastic process the author used different mixing concepts and applied coupling techniques. The corresponding inequalities for mixing processes are presented in Chapter 1. Chapter 2 contains results on density estimation for discrete-time processes where the optimal asymptotics are obtained for quadratic errors. Furthermore conditions for uniform almost sure convergence and asymptotic normality of kernel estimators are established. Nonparametric estimators for the regression function in a model with random regressors are studied in Chapter 3. The optimal asymptotics are obtained for mean square error. The results are applied to the prediction of Markov processes of order \(k\) and other processes. Chapters 4 and 5 contain results on estimators of density and regression functions and applications to the prediction problem for continuous-time processes. In contrary to the discrete time case for continuous time processes with irregular paths the effect of superoptimality appears. This book contains almost all important classical and a large number of new results for nonparametric estimation if the sample is a stochastic process. It can be recommended not only as a very clear introduction. One can find results and hints for many problems. Even specialists will find several new results.
- Nonparametric regression estimation with general parametric error covariance
- Large and moderate deviations principles for kernel estimators of the multivariate regression
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- Nonparametric estimation of nonlinear rational expectation models
- Asymptotic normality for density kernel estimators in discrete and continuous time
- Estimation of an autoregressive semiparametric model with exogenous variables
- On unbiased density estimation for ergodic diffusion
- Nonparametric prediction by conditional median and quantiles
- Weak and strong uniform consistency of a kernel error density estimator in nonparametric regression
- Bootstrapping nonparametric estimators of the volatility function.
- A nonparametric test for the change of the density function in strong mixing processes.
- Nonparametric conditional predictive regions for time series
- Finite sample performance of density estimators from unequally spaced data
- Set-indexed conditional empirical and quantile processes based on dependent data
- Deconvolving multidimensional density from partially contaminated observations
- Functional density estimation of the transition operator of a discrete-time Markov process.
- A unified treatment of direct and indirect estimation of a probability density and its derivatives
- A note on variable selection in nonparametric regression with dependent data
- Nonparametric estimates for conditional quantiles of time series
- Optimal bandwidth selection in kernel density estimation for continuous time dependent processes
- Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes
- The profile likelihood estimation for single-index ARCH(\(p\))-M model
- Optimal sequential kernel detection for dependent processes
- The sequential estimation in stochastic regression model with random coefficients
- Nonasymptotic bounds for autoregressive time series modeling.
- Geometric absolute regularity of Banach space-valued autoregressive processes.
- On confidence intervals for distribution function and density of ergodic diffusion process
- Resampling time series using missing values techniques
- On the cusum of squares test for variance change in nonstationary and nonparametric time series models
- Consistency results for the kernel density estimate on continuous time stationary and dependent data
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Nonparametric deconvolution problem for dependent sequences
- Nonparametric multivariate \(L_{1}\)-median regression estimation with functional covariates
- On the asymptotic variance of the continuous-time kernel density estimator
- Covariance matrix estimation for estimators of mixing weak ARMA models
- A weighted sieve estimator for nonparametric time series models with nonstationary variables
- Modeling autoregressive fuzzy time series data based on semi-parametric methods
- Estimation of state-dependent jump activity and drift for Markovian semimartingales
- Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
- A non-parametric model for fuzzy forecasting time series data
- A robust varying coefficient approach to fuzzy multiple regression model
- Nonparametric estimation in fractional SDE
- Nonparametric Gaussian inference for stable processes
- Time-varying nonlinear regression models: nonparametric estimation and model selection
- Non-linear time series clustering based on non-parametric forecast densities
- Testing conditional independence via empirical likelihood
- An exponential inequality for associated variables
- Asymptotic behaviour of truncated projection density estimators.
- Test for parameter change based on the estimator minimizing density-based divergence meas\-ures
- Large bandwidth asymptotics for Nadaraya-Watson auto-regression estimator
- Nonparametric estimation of multivariate density and its derivative by dependent data using gamma kernels
- Asymptotic normality of convergent estimates of conditional quantiles
- Regularized nonparametric filtering of signal with unknown distribution in nonlinear observation model
- Testing structural change in partially linear models
- Testing super-diagonal structure in high dimensional covariance matrices
- Functional estimation for density, regression models and processes.
- A note on non-parametric estimation with predicted variables
- scientific article; zbMATH DE number 3858194 (Why is no real title available?)
- Advances on asymptotic normality in non-parametric functional time series analysis
- A linear varying coefficient ARCH-M model with a latent variable
- Almost everywhere convergence of a wavelet thresholding risk estimate in a model with correlated noise
- Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection
- Nonparametric entropy-based tests of independence between stochastic processes
- On a partly linear autoregressive model with moving average errors
- Semi-Parametric Density Estimation for Time-Series with Multiplicative Adjustment
- scientific article; zbMATH DE number 4084797 (Why is no real title available?)
- scientific article; zbMATH DE number 52901 (Why is no real title available?)
- Modelling time trend via spline confidence band
- Convergence de I'estimateur à noyau de dérivées de Radon-Nikodym générales dans le cas mélangeant
- scientific article; zbMATH DE number 597677 (Why is no real title available?)
- scientific article; zbMATH DE number 1034226 (Why is no real title available?)
- scientific article; zbMATH DE number 1034228 (Why is no real title available?)
- Nonparametric estimation and prediction for continuous time processes
- Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models
- Estimation of General Stationary Processes by Variable Length Markov Chains
- Adaptive bandwidth choice
- Some properties of random stationary sequences with bivariate densities having diagonal expansions and nonparametric estimators based on them*
- Nonparametric regression for nonstationary processes
- scientific article; zbMATH DE number 1455597 (Why is no real title available?)
- A family of minimax rates for density estimators in continuous time
- Histogram estimation of radon-nikodym derivatives for strong mixing data
- Histograms for stationary linear random fields
- scientific article; zbMATH DE number 2176422 (Why is no real title available?)
- Confidence intervals for the mean based on exponential type inequalities and empirical likelihood
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
- Consistency of kernel density estimators for causal processes
- Density estimation for associated sampling: A point process influenced approach
- Nonparametric estimation of density, regression and dependence coefficients
- Limit theorems for iterated random functions
- Density Estimation for the Metropolis–Hastings Algorithm
- Subsampling Continuous Parameter Random Fields and a Bernstein Inequality
- scientific article; zbMATH DE number 7547166 (Why is no real title available?)
- Estimation of the essential supremum of a regression function
- Optimal asymptotic quadratic error of kernel estimators of Radon–Nikodym derivatives for strong mixing data
- Identification, Estimation, and Control of Uncertain Dynamic Systems: A Nonparametric Approach
- Kernel density estimation for linear processes
- A consistent nonparametric test of ergodicity for time series with applications
- Iterative kernel density estimation from noisy-dependent observations
- Functional Estimation for Density, Regression Models and Processes
- Kernel estimation for time series: an asymptotic theory
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