scientific article; zbMATH DE number 5629280

MaRDI QIDQ3643293zbMATH OpenFDO

Authors Zhengyan Lin, Degui Li, Jia Chen

Publication date 11 November 2009

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J19N4/j19n418/j19n418.html

zbMATH Keywords

asymptotic normalityconsistency\(\beta\)-null recurrent Markov chaincointegration modellocal linear M-estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(10)

• Robust estimation in a nonlinear cointegration model
• Robust nonlinear regression estimation in null recurrent time series
• Nonparametric regression estimation in a null recurrent time series
• Nonparametric LAD cointegrating regression
• Nonparametric M-estimation for functional stationary ergodic data
• Nonparametric estimation in null recurrent time series.
• Local composite quantile regression smoothing for Harris recurrent Markov processes
• Nonparametric inference for quantile cointegrations with stationary covariates
• Null recurrent unit root processes
• Local M-estimator for nonparametric time series.

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