Polynomial spline estimation for nonparametric (auto-)regressive models

DOI10.1556/SSCMATH.2009.1105MaRDI QIDQ3074482zbMATH OpenFDO

Authors Xinqian Wu, Zheng Tian, Hongjun Wang

Publication date 8 February 2011

Published in Studia Scientiarum Mathematicarum Hungarica (Search for Journal in Brave)

zbMATH Keywords

rate of convergenceconditional variance functionconditional mean function

Mathematics Subject Classification ID

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)

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• scientific article; zbMATH DE number 7403959

Cited in

(16)

• Nonparametric spline regression with autoregressive moving average errors
• Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach
• A finite element estimate for nonparametric autoregressive functions and its convergence rate
• Spline confidence bands for variance functions in nonparametric time series regressive models
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• Spline estimation for nonparametric variance models under dependent observations
• Consistent variance estimate of linear process errors
• Adaptive estimation of mean and volatility functions in (auto-)regressive models.
• Transformed polynomials for nonlinear autoregressive models of the conditional mean
• On the calculations of the maximum likelihood estimates for the polynomial spline regression model with unknown knots and AR(1) errors
• Spline estimation of partially linear regression models for time series with correlated errors
• Spline estimates in functional-coefficients linear autoregressive models
• Unbiased Partial Spline Fitting under Autoregressive Errors
• Spline estimation for partially linear autoregressive models with exogenous variables
• Spline estimation for heteroscedastic nonparametric regression models under dependent errors
• Modeling time-varying unconditional variance by means of a free-knot spline-GARCH model

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