Nonparametric vector autoregression

DOI10.1016/S0378-3758(97)00143-2zbMATH Open0937.62042OpenAlexW2040217207WikidataQ61865786 ScholiaQ61865786MaRDI QIDQ1299541FDOQ1299541

L. Yang, Alexandre B. Tsybakov, Wolfgang K. 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

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Mathematics Subject Classification ID

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

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Cited In (42)

• SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• Single‐Index Additive Vector Autoregressive Time Series Models
• A semiparametric GARCH model for foreign exchange volatility
• Better the devil you know: improved forecasts from imperfect models
• A non-stationary paradigm for the dynamics of multivariate financial returns
• LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
• Non-parametric estimation of a multiscale CHARN model using SVR
• A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection
• On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations
• Estimation of a structural vector autoregression model using non-Gaussianity
• A copula approach for dependence modeling in multivariate nonparametric time series
• Stochastic modeling of particle movement with application to marine biology and oceanography
• Structural Vector Autoregressions With Nonnormal Residuals
• Nonparametric volatility prediction
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
• Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
• Adaptive estimation of mean and volatility functions in (auto-)regressive models.
• A Multivariate Quantile Predictor
• Asymptotic optimality of estimating function estimator for CHARN model
• Estimating function approach for CHARN models
• Asymptotic properties of local polynomial regression with missing data and correlated errors
• Nonparametric estimation of structural models for high-frequency currency market data
• Semi- and nonparametric ARCH processes
• Multiple-index approach to multiple autoregressive time series model
• Nonparametric Multistep-Ahead Prediction in Time Series Analysis
• Bandwidth selection for the local polynomial estimator under dependence: a simulation study
• On a Nadaraya-Watson estimator with two bandwidths
• Nonstationary nonlinear heteroskedasticity.
• Nonparametric semirecursive identification in a wide sense of strong mixing processes
• Durations, volume and the prediction of financial returns in transaction time
• ITERATIONS OF DEPENDENT RANDOM MAPS AND EXOGENEITY IN NONLINEAR DYNAMICS
• Semi-recursive nonparametric identification in the general sense of a nonlinear heteroscedastic autoregression
• Wilks' theorem for semiparametric regressions with weakly dependent data
• Functional coefficient autoregressive models for vector time series
• Local polynomial regression smoothers with AR-error structure.
• Nonlinear Dynamic Structures
• Bayesian nonparametric vector autoregressive models
• NONPARAMETRIC IDENTIFICATION OF POSITIVE EIGENFUNCTIONS
• Functional methods for time series prediction: a nonparametric approach
• Finite nonparametric grach model for foreign exchange volatility

Uses Software

• XploRe
• KernSmooth

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