Polynomial spline estimation for nonparametric (auto-)regressive models
DOI10.1556/SSCMATH.2009.1105zbMATH Open1223.62054MaRDI QIDQ3074482FDOQ3074482
Authors: Xinqian Wu, Zheng Tian, Hongjun Wang 
Publication date: 8 February 2011
Published in: Studia Scientiarum Mathematicarum Hungarica (Search for Journal in Brave)
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- scientific article
Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cited In (15)
- Nonparametric Autoregression with Multiplicative Volatility and Additive mean
- Transformed polynomials for nonlinear autoregressive models of the conditional mean
- Spline estimation of partially linear regression models for time series with correlated errors
- Spline estimation for nonparametric variance models under dependent observations
- Unbiased Partial Spline Fitting under Autoregressive Errors
- Nonparametric spline regression with autoregressive moving average errors
- Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach
- Adaptive estimation of mean and volatility functions in (auto-)regressive models.
- Consistent variance estimate of linear process errors
- Spline estimates in functional-coefficients linear autoregressive models
- Spline estimation for partially linear autoregressive models with exogenous variables
- A finite element estimate for nonparametric autoregressive functions and its convergence rate
- Spline confidence bands for variance functions in nonparametric time series regressive models
- Spline estimation for heteroscedastic nonparametric regression models under dependent errors
- On the calculations of the maximum likelihood estimates for the polynomial spline regression model with unknown knots and AR(1) errors
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