Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
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Publication:3365348
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Cited in
(only showing first 100 items - show all)- Estimating a distribution function for censored time series data
- On nonparametric estimation in nonlinear AR(1)-models
- Nonparametric estimates for conditional quantiles of time series
- Strong Gaussian approximations of product-limit and quantile processes for truncated data under strong mixing
- Regression-type inference in nonparametric autoregression
- Strong Gaussian approximations of product-limit and quantile processes for strong mixing and censored data
- Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
- Nonparametric link prediction in large scale dynamic networks
- Self-normalized Cramér-type moderate deviations under dependence
- Nonparametric simultaneous testing for structural breaks
- Estimation in generalised varying-coefficient models with unspecified link functions
- A consistent bootstrap test for conditional density functions with time-series data
- Adaptive likelihood estimator of conditional variance function
- Asymptotic behaviors of the Lorenz curve for censored data under strong mixing
- Functional methods for time series prediction: a nonparametric approach
- Spatial nonparametric regression estimation: Non-isotropic case
- A strong uniform convergence rate of a kernel conditional quantile estimator under random left-truncation and dependent data
- Trending time-varying coefficient time series models with serially correlated errors
- Some asymptotic results of kernel density estimators under random left-truncation and dependent data
- The Bahadur representation for kernel-type estimator of the quantile function under strong mixing and censored data
- Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
- Nonparametric semirecursive identification in a wide sense of strong mixing processes
- Variance estimation in nonlinear autoregressive time series models
- Estimation in single-index panel data models with heterogeneous link functions
- CLT for single functional index quantile regression under dependence structure
- Nonparametric estimation in null recurrent time series.
- Weak dependence beyond mixing and asymptotics for nonparametric regression
- Strong convergence of estimators in nonlinear autoregressive models
- Bootstrap inference in local polynomial regression of time series
- Automatic methods of useful signals extraction from noise background under conditions of nonparametric uncertainty
- On goodness-of-fit tests for weakly dependent processes using kernel method
- Root-n-consistent estimation of partially linear time series models
- Semiparametric estimation of the single-index varying-coefficient model
- Kernel regression estimation for continuous spatial processes
- Nonparametric estimation of conditional expectation
- Integration and backfitting methods in additive models -- finite sample properties and comparison
- Inference from heteroscedastic functional data
- Functional coefficient seasonal time series models with an application of Hawaii tourism data
- Estimation of nonlinear autoregressive models using design-adapted wavelets
- Estimation for the single-index models with random effects
- Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting
- Semi- and nonparametric ARCH processes
- Local linear fitting under near epoch dependence: uniform consistency with convergence rates
- Nonparametric statistics for testing of linearity and serial independence
- Simultaneous specification testing of mean and variance structures in nonlinear time series regression
- \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
- Statistical inference for a single-index varying-coefficient model
- Local linear fitting under near epoch dependence
- Spatial kernel regression estimation: weak consistency
- Examining heterogeneity in implied equity risk premium using penalized splines
- Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series
- Multivariate regression estimation: Local polynomial fitting for time series
- Estimation for a partially linear single-index varying-coefficient model
- Local Gaussian correlation: a new measure of dependence
- Strong uniform consistency of kernel density estimators under a censored dependent model
- Empirical likelihood for single-index models with responses missing at random
- Model detection and estimation for single-index varying coefficient model
- Nonparametric specification testing for nonlinear time series with nonstationarity
- On a partly linear autoregressive model with moving average errors
- Model specification tests in nonparametric stochastic regression models
- Density estimation in \(\mathbb{L}^\infty\) norm for mixing processes
- Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
- Local GMM estimation of time series models with conditional moment restrictions
- Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
- Nonparametric estimation of structural change points in volatility models for time series
- Predictive inference for locally stationary time series with an application to climate data
- Nonparametric estimation of density, regression and dependence coefficients
- Empirical likelihood for semi-varying coefficient models for panel data with fixed effects
- Nonparametric estimation of the conditional variance function with correlated errors
- A semiparametric method for estimating nonlinear autoregressive model with dependent errors
- Local M-estimator for nonparametric time series.
- Measures of Dependence and Tests of Independence
- Asymptotic expansion for ISE of kernel density estimators under censored dependent model
- Proportional functional coefficient time series models
- Multivariate regression estimation: Local polynomial fitting for time series
- Semi-recursive nonparametric identification in the general sense of a nonlinear heteroscedastic autoregression
- Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
- Asymptotic normality of a kernel conditional quantile estimator under strong mixing hypothesis and left-truncation
- Strongly consistent nonparametric forecasting and regression for stationary ergodic sequences.
- On the Uniform Strong Consistency of Local Polynomial Regression Under Dependence Conditions
- Smooth coefficient models with endogenous environmental variables
- Dimension reduction in time series under the presence of conditional heteroscedasticity
- Analysis of accumulated rounding errors in autoregressive processes
- A note on non-parametric testing for Gaussian innovations in AR-ARCH models
- Efficient robust estimation for single-index mixed effects models with missing observations
- Nonparametric volatility prediction
- Improved local polynomial estimation in time series regression
- Heteroscedastic modelling via the autoregressive conditional variance subspace
- Semiparametric GARCH via Bayesian Model Averaging
- Specification testing in nonparametric AR‐ARCH models
- Nonparametric estimation for dependent data
- Nonparametric estimation equations for time series data.
- Empirical likelihood for partially linear single-index models with missing observations
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- Confidence intervals of variance functions in generalized linear model
- Wilks' theorem for semiparametric regressions with weakly dependent data
- Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables
- Statistical estimation in partially nonlinear models with random effects
- Comments on: Some recent theory for autoregressive count time series
- Curve of correlation for time series
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