Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors

DOI10.1016/J.JSPI.2004.01.019MaRDI QIDQ2485976zbMATH OpenOpenAlexFDO

Authors N. Laïb

Publication date 5 August 2005

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2004.01.019

zbMATH Keywords

Ergodic processesKernel estimateMartingale differenceMixing processesNormalityPredictionVariance function

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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Cited in

(21)

• Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
• Semi-recursive nonparametric identification in the general sense of a nonlinear heteroscedastic autoregression
• On nonparametric estimation in nonlinear AR(1)-models
• Nonparametric M-estimation for functional stationary ergodic data
• Vector-on-function quantile regression for stationary ergodic processes
• Limiting law results for a class of conditional mode estimates for functional stationary ergodic data
• Uniform in bandwidth rate of convergence of the conditional mode estimate on functional stationary ergodic data
• Generalised kernel smoothing for non-negative stationary ergodic processes
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• Local Estimation in AR Models with Nonparametric ARCH Errors
• Estimation non paramétrique dans un modèle autorégressif fonctionnel non directement observé
• scientific article; zbMATH DE number 1329170 (Why is no real title available?)
• scientific article; zbMATH DE number 2165826 (Why is no real title available?)
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• Real-time estimation for functional stochastic regression models
• Rate of uniform consistency for a class of mode regression on functional stationary ergodic data
• Nonparametric kernel regression estimation for functional stationary ergodic data: Asymptotic properties
• Nonparametric \(M\)-estimation for right censored regression model with stationary ergodic data
• Generalized nonparametric asymmetric kernel regression estimator with responses missing for nonnegative stationary and ergodic data
• Nonparametric estimation in a nonlinear time-varying generalized regression model with locally stationary covariate and ARCH-errors
• On joint testing of changes in conditional mean and variance functions of stationary and ergodic time series

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