Uniform consistency for nonparametric estimators in null recurrent time series

DOI10.1017/S0266466614000577MaRDI QIDQ3453245zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

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Cited in

(18)

• Universal kernel-type estimation of random fields
• 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
• Uniform consistency of automatic and location-adaptive delta-sequence estimators
• Local composite quantile regression smoothing for Harris recurrent Markov processes
• 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

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