Dynamical multiple regression in function spaces, under kernel regressors, with ARH(1) errors

DOI10.1007/S11749-018-0614-2MaRDI QIDQ2273187zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 18 September 2019

Published in Test (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.01655

zbMATH Keywords

ARH(1) errorsdynamical functional multiple regressionfirm leverage mapsgeneralized least-squared estimatorkernel regressors

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional data analysis (62R10)

Abstract: A linear multiple regression model in function spaces is formulated, under temporal correlated errors. This formulation involves kernel regressors. A generalized least-squared regression parameter estimator is derived. Its asymptotic normality and strong consistency is obtained, under suitable conditions. The correlation analysis is based on a componentwise estimator of the residual autocorrelation operator. When the dependence structure of the functional error term is unknown, a plug-in generalized least-squared regression parameter estimator is formulated. Its strong-consistency is proved as well. A simulation study is undertaken to illustrate the performance of the presented approach, under different regularity conditions. An application to financial panel data is also considered.

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Cited in

(3)

• Kumaraswamy regression model with Aranda-Ordaz link function
• Heterogeneous spatial dynamical regression in a Hilbert-valued context
• Least square estimation for multiple functional linear model with autoregressive errors

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