Autoregressive coefficient estimation in nonparametric analysis
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Publication:2851985
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- scientific article; zbMATH DE number 5904507
- On an autoregressive model with time-dependent coefficients
Cites work
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- Additive coefficient modeling via polynomial spline
- Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
- Estimating error correlation in nonparametric regression
- Identification of Non-Linear Additive Autoregressive Models
- Local asymptotics for polynomial spline regression
- Multivariate Bandwidth Selection for Local Linear Regression
- Nonparametric curve estimation with time series errors
- Polynomial spline confidence bands for regression curves
- Spline-backfitted kernel smoothing of nonlinear additive autoregression model
- Time series: theory and methods.
- Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
Cited in
(15)- Oracally efficient estimation and testing for an ARCH model with trend
- Oracle-efficient estimation and trend inference in non-stationary time series with trend and heteroscedastic ARMA error
- Efficient inference for parameters of unobservable periodic autoregressive time series
- Polynomial spline confidence bands for time series trend
- Asymptotic theory for time series with changing mean and variance
- Nonparametric regression with rescaled time series errors
- On estimation of nonparametric regression models with autoregressive and moving average errors
- Efficient inference for autoregressive coefficients in the presence of trends
- Efficient estimation for periodic autoregressive coefficients via residuals
- Estimation of the autocorrelation coefficient in the presence of a regression trend
- Autoregressive mixture models for clustering time series
- Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
- Estimating nonlinear additive models with nonstationarities and correlated errors
- Oracle model selection for correlated data via residuals
- Factor and Idiosyncratic Empirical Processes
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