Uniform consistency for nonparametric estimators in null recurrent time series

DOI10.1017/S0266466614000577zbMATH Open1441.62696OpenAlexW3122561210WikidataQ89894117 ScholiaQ89894117MaRDI QIDQ3453245FDOQ3453245

Authors: Shin Kanaya, Degui Li, Dag Tjøstheim, Jiti Gao 

Publication date: 20 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000577

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Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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• Functional-coefficient models for nonstationary time series data
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• Non-linear time series and Markov chains
• The sequence of sums of independent random variables
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• Nonparametric regression estimation in a null recurrent time series

Cited In (18)

• A uniform law for convergence to the local times of linear fractional stable motions
• Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
• Robust nonlinear regression estimation in null recurrent time series
• Local composite quantile regression smoothing for Harris recurrent Markov processes
• Uniform consistency of automatic and location-adaptive delta-sequence estimators
• Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
• Towards Insensitivity of Nadaraya--Watson Estimators to Design Correlation
• Nonparametric estimation in null recurrent time series.
• Least squares estimation for nonlinear regression models with heteroscedasticity
• Uniform consistency for local fitting of time series non-parametric regression allowing for discrete-valued response
• Uniform nonparametric inference for time series
• Asymptotics for recurrent diffusions with application to high frequency regression
• Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
• On sufficient conditions for the consistency of local linear kernel estimators
• Varying coefficient partially nonlinear models with nonstationary regressors
• Universal kernel-type estimation of random fields

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