Nonparametric estimation in null recurrent time series.

DOI10.1214/AOS/1009210546zbMATH Open1103.62335OpenAlexW2001953116MaRDI QIDQ1848865FDOQ1848865

Authors: Hans A. Karlsen, Dag Tjøstheim 

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1009210546

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zbMATH Keywords

nonparametric kernel estimatorsnull recurrent Markov chainNonstationary time series modelssplit chain

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (65)

• Nonparametric LAD cointegrating regression
• Threshold models in time series analysis -- some reflections
• Estimation for single-index and partially linear single-index integrated models
• Empirical process theory for locally stationary processes
• Regeneration-based statistics for Harris recurrent Markov chains
• A uniform law for convergence to the local times of linear fractional stable motions
• Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
• When is a Markov chain regenerative?
• A specification test for nonlinear nonstationary models
• ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES
• Semiparametric estimation in triangular system equations with nonstationarity
• Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
• Estimation in semi-parametric regression with non-stationary regressors
• On non-parametric estimation of the Lévy kernel of Markov processes
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Adaptive estimation for varying coefficient models with nonstationary covariates
• Robust nonlinear regression estimation in null recurrent time series
• Nonparametric estimation in a nonlinear cointegration type model
• Local composite quantile regression smoothing for Harris recurrent Markov processes
• Asymptotic theory for fractional regression models via Malliavin calculus
• Estimation of partial differential equations with applications in finance
• Nonparametric regression estimation in a null recurrent time series
• A weighted sieve estimator for nonparametric time series models with nonstationary variables
• Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
• Estimation in threshold autoregressive models with a stationary and a unit root regime
• Nonlinear regressions with nonstationary time series
• ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
• Bootstrapping Robust Statistics for Markovian Data Applications to Regenerative R‐Statistics and L‐Statistics
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• Nonparametric methods of inference for finite-state, inhomogeneous Markov processes
• Nonparametric transformation regression with nonstationary data
• Robust estimation in a nonlinear cointegration model
• Estimation of dynamic models with nonparametric simulated maximum likelihood
• Estimation of integrals with respect to infinite measures using regenerative sequences
• Nonparametric specification testing for nonlinear time series with nonstationarity
• Asymptotic behavior for bi-fractional regression models via Malliavin calculus
• LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE
• Consistent estimation of a general nonparametric regression function in time series
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Approximate regenerative-block bootstrap for Markov chains
• Extreme values statistics for Markov chains via the (pseudo-) regenerative method
• Specification testing for nonlinear multivariate cointegrating regressions
• UNIFORM CONVERGENCE FOR NONPARAMETRIC ESTIMATORS WITH NONSTATIONARY DATA
• Monte Carlo methods for improper target distributions
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
• Kernel Density Estimation and Local Time
• UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
• Nonparametric prediction of stock returns based on yearly data: the long-term view
• NONPARAMETRIC NONSTATIONARITY TESTS
• Nearest neighbor conditional estimation for Harris recurrent Markov chains
• SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY
• Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
• Some notes on nonlinear cointegration: A partial review with some novel perspectives
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• Specification testing in nonlinear and nonstationary time series autoregression
• Inference in nonstationary asymmetric GARCH models
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• Null recurrent unit root processes
• Nonparametric cointegrating regression with NNH errors
• Varying coefficient partially nonlinear models with nonstationary regressors
• Nonparametric Estimation of the Bivariate Recurrence Time Distribution
• Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
• A New Class of Bivariate Threshold Cointegration Models
• Buffered vector error-correction models: an application to the U.S. Treasury bond rates

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