On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators
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The author proves weak consistency of kernel estimators of conditional expectations and joint probability densities in multivariate stationary time series. The finite-sample properties give some implications for choice of bandwidth.
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Cites work
- A note on nonparametric density estimation for dependent variables using a delta sequence
- An orthogonal series estimate of time-varying regression
- Density estimation for linear processes
- Density estimation for Markov processes using delta-sequences
- Estimating the Lag Structure of a Nonlinear Time Series Model
- Estimation of a multivariate density
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- Integrated mean square properties of density estimation by orthogonal series methods for dependent variables
- Nonparametric estimation in Markov processes
- Nonparametric estimation of the drift coefficient in the diffusion equation
- Nonparametric Estimation of the Transition Distribution Function of a Markov Process
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Nonparametric system identification by kernel methods
- On the Spectrum of Stationary Gaussian Sequences Satisfying the Strong Mixing Condition. II. Sufficient Conditions. Mixing Rate
- Probability density estimation from sampled data
- Strong consistency of density estimation by orthogonal series methods for dependent variables with applications
- Strong consistent density estimate from ergodic sample
- Sur la pr�diction non param�trique de variables al�atoires et de mesures al�atoires
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Cited in
(23)- Strong consistency and rates for recursive nonparametric conditional probability density estimates under \((\alpha{}, \beta{})\)-mixing conditions
- Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes
- Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
- Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series
- Multivariate regression estimation: Local polynomial fitting for time series
- Minimum distance regression-type estimates with rates under weak dependence
- Density estimation in \(\mathbb{L}^\infty\) norm for mixing processes
- Prediction in moving average processes
- Consistent estimation of a general nonparametric regression function in time series
- Prediction in invertible linear processes
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Multivariate regression estimation with errors-in-variables for stationary processes
- Uniform consistency for nonparametric estimators in null recurrent time series
- MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
- Multivariate regression estimation: Local polynomial fitting for time series
- Nonparametric regression for nonstationary processes
- Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
- Nonparametric estimation of conditional probability densities and expectations of stationary processes: Strong consistency and rates
- Kernel estimation for time series: an asymptotic theory
- Threshold nonlinearities and the democracy-growth nexus
- Efficient prediction for linear and nonlinear autoregressive models
- Convergence rates in density estimation for data from infinite-order moving average processes
- Nonparametric regression estimation under mixing conditions
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