NONPARAMETRIC ESTIMATORS FOR TIME SERIES

DOI10.1111/J.1467-9892.1983.TB00368.XzbMATH Open0544.62082OpenAlexW2023140731MaRDI QIDQ3333924FDOQ3333924

Authors: Peter M. Robinson 

Publication date: 1983

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00368.x

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zbMATH Keywords

asymptotic distributionskernel estimatorsconditional expectationscontinuity pointsstrictly stationary processstrong mixing conditionmultivariate central limit theoremsnonlinear predictionregression estimatorsconsistency propertiesconditional density estimatorsnon- Gaussian time series models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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Cited In (only showing first 100 items - show all)

• A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence
• On multivariate variable-kernel density estimates for time series
• Mixtures of nonparametric autoregressions
• Central limit theorems for nonparametric estimators with real-time random variables
• Nonparametric function estimation for time series by local average estimators
• Kernel estimation for additive models under dependence
• On central and non-central limit theorems in density estimation for sequences of long-range dependence
• Order Choice in Nonlinear Autoregressive Models
• Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
• Forecasting benchmarks of long-term stock returns via machine learning
• A simple additivity test for conditionally heteroscedastic nonlinear autoregression
• Semi-parametric dynamic time series modelling with applications to detecting neural dynamics
• The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
• On nonparametric estimation in nonlinear AR(1)-models
• Sieve inference on possibly misspecified semi-nonparametric time series models
• Nonparametric estimates for conditional quantiles of time series
• Estimation of a multiple-threshold \(AR(p)\) model
• Some developments in semiparametric statistics
• Jfon parametric time series analysis and prediction: uniform almost sure convergence of the window and jt-nn autoregression estimates
• Efficient prediction for linear and nonlinear autoregressive models
• Kernel density estimation for dynamical systems
• Are there common values in first-price auctions? A tail-index nonparametric test
• Estimation of the trend function for spatio-temporal models
• Nonparametric estimation of conditional probability densities and expectations of stationary processes: Strong consistency and rates
• Kernel density estimation under weak dependence with sampled data
• Density Estimation for One-Dimensional Dynamical Systems
• LocalL-estimators for nonparametric regression under dependence
• Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
• Hellinger distance estimation of nonlinear dynamical systems.
• Nonparametric estimation of density, regression and dependence coefficients
• Nonparametric predictive regression
• Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
• On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators
• Strong consistency and rates for recursive nonparametric conditional probability density estimates under \((\alpha{}, \beta{})\)-mixing conditions
• On the estimation of \(\beta\)-ARCH models
• Central limit theorem for quadratic errors of Nadaraya-Watson regression estimator under dependence
• Kernel estimation and interpolation for time series containing missing observations
• Asymptotic normality of the Nadaraya–Watson estimator for nonstationary functional data and applications to telecommunications
• Simultaneous nonparametric inference of time series
• Dependent Lindeberg central limit theorem and some applications
• Chain rule density estimates
• Kernel estimation under linear-exponential loss
• Functional estimation for time series: Uniform convergence properties
• Density estimation for time series by histograms
• Density estimation in \(\mathbb{L}^\infty\) norm for mixing processes
• Semiparametric estimation of Markov decision processes with continuous state space
• Kernel estimation for time series: an asymptotic theory
• Local polynomial fitting under association
• Prediction in moving average processes
• A semiparametric method for estimating nonlinear autoregressive model with dependent errors
• Prediction in invertible linear processes
• Nonparametric density and regression estimation for Markov sequences without mixing assumptions
• Multivariate regression estimation with errors-in-variables for stationary processes
• The central limit theorem for degenerate variable \(U\)-statistics under dependence
• Robust kernel estimators for additive models with dependent observations
• Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
• Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes
• Bootstrapping nonparametric estimators of the volatility function.
• Some automated methods of smoothing time-dependent data
• Skill-biased technical change and labor market inefficiency
• On histograms for linear processes
• Kernel spatial density estimation in infinite dimension space
• Nonparametric estimation in large panels with cross-sectional dependence
• Nonparametric regression for nonstationary processes
• A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
• Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models
• Estimation of nonlinear autoregressive models using design-adapted wavelets
• Nonparametric density estimation for nonmixing approximable stochastic processes
• Confidence intervals for probability density functions under strong mixing samples
• On the asymptotic normality of kernel density estimators for causal linear random fields
• On bootstrapping \(L_2\)-type statistics in density testing
• Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations
• Nonparametric estimation of a regression function and its derivatives under an ergodic hypothesis
• Recursive kernel estimation of the density under \(\eta\)-weak dependence
• Estimation for varying coefficient panel data model with cross-sectional dependence
• Asymptotic inference from multi-stage samples
• Nonparametric curve estimation from time series
• Nonparametric model checks for time series
• Kernel density estimation for linear processes
• Nonparametric inference for ergodic, stationary time series
• A strong law of large numbers for triangular mixingale arrays
• Frequency polygons for weakly dependent processes
• Asymptotic equivalence of nonparametric autoregression and nonparametric regression
• A note on asymptotic normality of kernel estimation for linear random fields on \(Z^{2}\)
• Let's get LADE: robust estimation of semiparametric multiplicative volatility models
• Extremal quantile regression
• Nonparametric two-step regression estimation when regressors and error are dependent
• Estimation in semi-parametric regression with non-stationary regressors
• Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
• Estimation of and inference about the expected shortfall for time series with infinite variance
• Asymptotic theory for nonparametric regression with spatial data
• Nonparametric trend estimation in replicated time series
• Kernel density estimation for random fields. (Density estimation for random fields)
• Kernel density estimation for spatial processes: The \(L_{1}\) theory
• Kernel regression uniform rate estimation for censored data under \(\alpha\)-mixing condition
• Nonparametric transformation to white noise
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Multivariate probability density estimation by wavelet methods: Strong consistency and rates for stationary time series
• Strong convergence of sums of \(\alpha \)-mixing random variables with applications to density estimation
• Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses

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