Nonparametric estimation in null recurrent time series.

DOI10.1214/aos/1009210546zbMath1103.62335MaRDI QIDQ1848865

Dag Tjøstheim, Hans Arnfinn Karlsen

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

zbMATH Keywords

nonparametric kernel estimators; null recurrent Markov chain; Nonstationary time series models; split chain

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62M05: Markov processes: estimation; hidden Markov models

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