Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences

DOI10.2307/2288075zbMATH Open0566.62029OpenAlexW4245267902MaRDI QIDQ3681735FDOQ3681735

Authors: S. Yakowitz 

Publication date: 1985

Full work available at URL: https://doi.org/10.2307/2288075

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zbMATH Keywords

asymptotic normalitypredictionconsistencydensity estimationregressionasymptotic convergence ratetime-seriescontinuous densitiesstationary Markov sequencefinite fourth moments

Mathematics Subject Classification ID

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

Cited In (37)

• On multivariate variable-kernel density estimates for time series
• Kernel estimation for additive models under dependence
• Nonparametric density estimation in hidden Markov models
• Functional density estimation of the transition operator of a discrete-time Markov process.
• Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
• Nonparameteric estimation in mixing sequences of random variables
• Title not available (Why is that?)
• Quadratic errors for nonparametric estimates under dependence
• Efficient prediction for linear and nonlinear autoregressive models
• 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
• NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS
• Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
• On bandwidth choice for density estimation with dependent data
• Generalized look-ahead methods for computing stationary densities
• Asymptotic normality for \(L_1\) norm kernel estimator of conditional median under \(\alpha\)-mixing dependence
• Density estimation for time series by histograms
• Uniform strong consistency of kernel density estimators under dependence
• Consistency of kernel density estimators for causal processes
• Propri�t�s de convergence presque compl�te du pr�dicteur � noyau
• MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES
• Estimates of the tail of the stationary density function of certain nonlinear autoregressive processes
• DATA-DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS
• Estimation in nonlinear regression with Harris recurrent Markov chains
• Prediction in moving average processes
• Prediction in invertible linear processes
• 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
• Robust kernel estimators for additive models with dependent observations
• Regression function estimation from dependent observations
• \(M\)-type regression splines involving time series
• Some automated methods of smoothing time-dependent data
• Title not available (Why is that?)
• On histograms for linear processes
• Nonparametric regression for nonstationary processes

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