Nonparametric estimation and prediction for continuous time processes

DOI10.1016/S0362-546X(97)00460-4MaRDI QIDQ4374249zbMATH OpenFDO

Authors Denis Bosq

Publication date 4 July 1999

Published in Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)

zbMATH Keywords

predictionkernel density estimatorkernel regression estimatorrates of convergence

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20)

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Cites work

• Accurate rates of density estimators for continuous-time processes
• Nonparametric regression estimation under mixing conditions
• Nonparametric statistics for stochastic processes
• On invariant density estimation for ergodic diffusion processes
• On smoothed probability density estimation for stationary processes
• Optimal global rates of convergence for nonparametric regression

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(18)

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• A family of minimax rates for density estimators in continuous time
• On the conditional density estimation for continuous time processes with values in functional spaces
• Generalized regression estimation for continuous time processes with values in functional spaces
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• Bandit and covariate processes, with finite or non-denumerable set of arms
• Nonparametric testing for long-horizon predictability with persistent covariates
• Estimation non paramétrique pour des processus dynamiques dilatants
• Optimal and superoptimal convergence rate of the local linear estimator of nonparametric regression function in continuous time
• scientific article; zbMATH DE number 152120 (Why is no real title available?)
• Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
• A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
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