Nonparametric vector autoregression

DOI10.1016/S0378-3758(97)00143-2zbMath0937.62042OpenAlexW2040217207WikidataQ61865786 ScholiaQ61865786MaRDI QIDQ1299541

Lijian Yang, Alexandre B. Tsybakov, Wolfgang Karl Härdle

Publication date: 13 June 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(97)00143-2

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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Uses Software

• XploRe
• KernSmooth

Cites Work

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