Wilks' theorem for semiparametric regressions with weakly dependent data
DOI10.1214/21-AOS2081zbMath1486.62239arXiv2006.06350OpenAlexW4200054434MaRDI QIDQ2073705
Marie Du Roy De Chaumaray, Valentin Patilea, Matthieu Marbac
Publication date: 7 February 2022
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.06350
kernel smoothingnonlinear time seriesparametric inferencenuisance functionpivotal statistic\( \alpha \)-mixing
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
Uses Software
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