Nonparametric regression for nonstationary processes

DOI10.1080/10485250008832808MaRDI QIDQ4485017zbMATH OpenOpenAlexFDO

Authors Carlo Grillenzoni

Publication date 5 June 2000

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250008832808

zbMATH Keywords

simulationprediction error criterionrecursive kernel estimatorsnonlinear and nonstationary time seriestime-varying regression functions

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Almost sure convergence of recursive density estimators for stationary mixing processes
• Asymptotic normality of the recursive kernel regression estimate under dependence conditions
• BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS
• Estimation in nonlinear time series models
• How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences
• Nonparametric Identification of Nonlinear Time Series: Projections
• Nonparametric density and regression estimation for Markov sequences without mixing assumptions
• Nonparametric inference for ergodic, stationary time series
• Nonparametric statistics for stochastic processes
• On the asymptotic distributions of bandwidth estimates
• Optimal Recursive Estimation of Dynamic Models
• Real-time identification of time-varying systems by non-parametric algorithms based on Parzen kernels
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• Testing for causality in real time

Cited in

(19)

• On the Cesàro-means-based orthogonal series approach to learning time-varying regression functions
• Non-linear predictors of transformed stationary processes
• Nonparametric recursive estimation of a multivariate, marginal and conditional dgp with an application to specification of econometric models
• Power-weighted densities for time series data
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• On recursive estimation for time varying autoregressive processes
• Methods of regularization in the problem of reconstruction of nonstationary regression dependence.
• An approximation procedure of quantiles using an estimation of kernel method for quality control
• Parametric nonstationary correlation models
• Nonparametric Regression with Sample Design Following a Random Process
• Online kernel estimation of stationary stochastic diffusion models
• scientific article; zbMATH DE number 3858194 (Why is no real title available?)
• Automatic bandwidth selection in robust nonparametric regression
• Sequential kernel estimation of the conditional intensity of nonstationary point processes
• Nonparametric transformation regression with nonstationary data
• Robust nonparametric estimation of the intensity function of point data
• Non-parametric smoothing of spatio-temporal point processes
• Nonparametric regression for locally stationary time series
• A unified view of nonparametric trend-cycle predictors via reproducing kernel Hilbert spaces

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