Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression

DOI10.3150/12-BEJ482MaRDI QIDQ2444664zbMATH OpenFDO

Authors Qiying Wang, Nigel Chan

Publication date 10 April 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.0966, https://projecteuclid.org/euclid.bj/1390407286

zbMATH Keywords

Harris recurrent Markov chainmartingalenon-linearitynon-parametric regressionnon-stationarityuniform convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02)

Abstract: For a class of martingales, this paper provides a framework on the uniform consistency with broad applicability. The main condition imposed is only related to the conditional variance of the martingale, which holds true for stationary mixing time series, stationary iterated random function, Harris recurrent Markov chains and $I(1)$ processes with innovations being a linear process. Using the established results, this paper investigates the uniform convergence of the Nadaraya-Watson estimator in a non-linear cointegrating regression model. Our results not only provide sharp convergence rate, but also the optimal range for the uniform convergence to be held. This paper also considers the uniform upper and lower bound estimates for a functional of Harris recurrent Markov chain, which are of independent interests.

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Cited in

(14)

• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• scientific article; zbMATH DE number 4172200 (Why is no real title available?)
• An extended martingale limit theorem with application to specification test for nonlinear co-integrating regression model
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• New robust inference for predictive regressions
• Approximation of smooth multivariate regression functions by universal kernel estimators

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