On nonparametric ridge estimation for multivariate long-memory processes

DOI10.1007/S10986-020-09480-YMaRDI QIDQ829814zbMATH OpenOpenAlexFDO

Authors Jan Beran, Klaus Telkmann

Publication date 6 May 2021

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-020-09480-y

zbMATH Keywords

ridge regressionkernel density estimationlong-range dependencemultivariate time serieslinear process

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18)

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Cited in

(2)

• Asymptotic confidence regions for density ridges
• On nonparametric density estimation for multivariate linear long-memory processes

Describes a project that uses

Uses Software

• longmemo
• KernSmooth

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