Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences

asymptotic convergence rate asymptotic normality consistency continuous densities density estimation finite fourth moments prediction regression stationary Markov sequence time-series

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(38)

Nonparameteric estimation in mixing sequences of random variables
Estimates of the tail of the stationary density function of certain nonlinear autoregressive processes
Quadratic errors for nonparametric estimates under dependence
Density estimation for time series by histograms
Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
\(M\)-type regression splines involving time series
Asymptotic normality for L₁ norm kernel estimator of conditional median under -mixing dependence
Nonparametric density estimation in hidden Markov models
Functional density estimation of the transition operator of a discrete-time Markov process.
Uniform strong consistency of kernel density estimators under dependence
On bandwidth choice for density estimation with dependent data
On histograms for linear processes
Prediction in moving average processes
Regression function estimation from dependent observations
Prediction in invertible linear processes
Generalized look-ahead methods for computing stationary densities
Propri�t�s de convergence presque compl�te du pr�dicteur � noyau
Estimation in nonlinear regression with Harris recurrent Markov chains
scientific article; zbMATH DE number 4070051 (Why is no real title available?)
On multivariate variable-kernel density estimates for time series
DATA-DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS
Robust kernel estimators for additive models with dependent observations
Some automated methods of smoothing time-dependent data
Nonparametric regression for nonstationary processes
MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES
NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS
Consistency of kernel density estimators for causal processes
Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
scientific article; zbMATH DE number 932624 (Why is no real title available?)
Note on the uniform convergence of density estimates for mixing random variables
Rate of convergence of the spline estimates for Markov chains
Kernel density estimation for linear processes
Kernel estimation for additive models under dependence
On integral theorems and their statistical properties
Efficient prediction for linear and nonlinear autoregressive models
Integrated consistency of smoothed probability density estimators for stationary sequences
Nonparametric density and regression estimation for Markov sequences without mixing assumptions
Testing the functions defining a nonlinear autoregressive time series

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