Spline confidence bands for variance functions in nonparametric time series regressive models

DOI10.1080/10485252.2012.693925zbMath1254.62098MaRDI QIDQ3145393

Qiongxia Song, Yuhang Xu, Yujiao Yang

Publication date: 20 December 2012

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2012.693925

zbMATH Keywords

time series; variance function estimation; B-splines; nonparametric autoregression; \(\alpha\)-mixing process

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

65D07: Numerical computation using splines

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62G15: Nonparametric tolerance and confidence regions

Uses Software

• SemiPar

Cites Work

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