Additive Regression Model for Continuous Time Processes

DOI10.1080/03610920801919676MaRDI QIDQ3526089zbMATH OpenOpenAlexFDO

Authors Mohammed Debbarh, Bertrand Maillot

Publication date 24 September 2008

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.1154

zbMATH Keywords

curse of dimensionalitymarginal integration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical integration (65D30)

Abstract: In the setting of additive regression model for continuous time process, we establish the optimal uniform convergence rates and optimal asymptotic quadratic error of additive regression. To build our estimate, we use the marginal integration method.

Recommendations

• Additive regression model for stationary and ergodic continuous time processes
• Asymptotic normality of the additive regression components for continuous time processes
• Optimal estimation in additive regression models
• Uniform convergence of the estimator of an additive regression function under random censorship
• Optimal and superoptimal convergence rate of the local linear estimator of nonparametric regression function in continuous time

Cites work

• A kernel method of estimating structured nonparametric regression based on marginal integration
• Additive regression and other nonparametric models
• Additive time series: The kernel integration method
• Nonparametric Identification for Diffusion Processes
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• On Estimation of a Probability Density Function and Mode
• Remarks on Some Nonparametric Estimates of a Density Function
• Versions of Kernel-Type Regression Estimators

Cited in

(4)

• Adaptive estimation of an additive regression function from weakly dependent data
• Additive regression model for stationary and ergodic continuous time processes
• Asymptotic normality of the additive regression components for continuous time processes
• Composite T-process regression models

This page was built for publication: Additive Regression Model for Continuous Time Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3526089)