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)

Cites Work

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• Remarks on Some Nonparametric Estimates of a Density Function
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• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• On the Spectrum of Stationary Gaussian Sequences Satisfying the Strong Mixing Condition. II. Sufficient Conditions. Mixing Rate
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• Curve Estimates
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Cited In (only showing first 100 items - show all)

• 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
• Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations
• Fixed-design regression for linear time series
• Necessary and sufficient conditions for the conditional central limit theorem
• Spatial kernel regression estimation: weak consistency
• Title not available (Why is that?)
• Nonparametric vector autoregression
• On internally corrected and symmetrized kernel estimators for nonparametric regression
• Asymptotic normality of nonparametric estimators under \(\alpha\)-mixing condition
• Kernel density estimation for linear processes
• Semiparametric dynamic portfolio choice with multiple conditioning variables
• Regression-type inference in nonparametric autoregression
• Efficient estimation in dynamic conditional quantile models
• Nonparametric estimation in null recurrent time series.
• Weak dependence beyond mixing and asymptotics for nonparametric regression
• Nonparametric estimation of American options' exercise boundaries and call prices
• Simulated minimum Hellinger distance estimation of stochastic volatility models
• Nonparametric inference on structural breaks
• A triangular central limit theorem under a new weak dependence condition
• Nonparametric transfer function models
• Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series
• Local M-estimator for nonparametric time series.
• Recursive kernel density estimators under a weak dependence condition
• American options with stochastic dividends and volatility: a nonparametric investigation
• Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
• Local linear spatial regression
• Consistent estimation of a general nonparametric regression function in time series
• Time-varying nonlinear regression models: nonparametric estimation and model selection
• Time irreversible copula-based Markov models
• Multivariate regression estimation: Local polynomial fitting for time series
• Bootstraps for time series
• Almost sure convergence of recursive density estimators for stationary mixing processes
• Asymptotic normality for \(L_1\) norm kernel estimator of conditional median under \(\alpha\)-mixing dependence
• Nonparametric statistics for testing of linearity and serial independence
• Kernel density estimator for strong mixing processes
• Kernel density estimation under dependence
• Propri�t�s de convergence presque compl�te du pr�dicteur � noyau
• Effective nonparametric estimation in the case of severely discretized data
• Nonparametric regression estimation for dependent functional data: asymptotic normality
• Financial crashes as endogenous jumps: estimation, testing and forecasting
• Hellinger distance estimation of general bilinear time series models
• Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
• Spline-backfitted kernel smoothing of nonlinear additive autoregression model
• Estimation of copula-based semiparametric time series models
• Nonlinear system theory: Another look at dependence
• Regression function estimation from dependent observations
• Nearest neighbor conditional estimation for Harris recurrent Markov chains
• Density estimation for spatial-temporal models
• A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models
• Semi-nonparametric estimation and misspecification testing of diffusion models
• Kernel density estimation for random fields: TheL₁Theory
• Nonparametric curve estimation with time series errors
• Estimation of semiparametric locally stationary diffusion models
• Markov chain Monte Carlo estimation of quantiles
• Nonparametric regression estimation under mixing conditions
• A bootstrap test for the comparison of nonlinear time series
• Testing the martingale difference hypothesis using integrated regression functions
• Wavelet-Based estimation of multivariate regression functions in besov spaces^*
• Series estimation under cross-sectional dependence
• Frequency polygons for continuous random fields
• Efficient estimation of copula-based semiparametric Markov models
• Weighted Nadaraya-Watson regression estimation
• Local linear fitting under near epoch dependence
• 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

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