Sequential Cross-Validated Bandwidth Selection Under Dependence and Anscombe-Type Extensions to Random Time Horizons

zbMath1319.62187arXiv1205.6741MaRDI QIDQ3165894

Ansgar Steland

Publication date: 19 October 2012

Full work available at URL: https://arxiv.org/abs/1205.6741

zbMATH Keywords

time seriesstochastic integrationempirical processnonparametric regressionmultiple jumpsrisk controlchangepoint detection

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07) Sequential estimation (62L12)

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