NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS

DOI10.1017/S0266466600164011zbMath0997.62065WikidataQ128252591 ScholiaQ128252591MaRDI QIDQ4512509

Elias Masry, Zong-Wu Cai

Publication date: 14 November 2002

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466600164011

zbMATH Keywords

asymptotic normality; weak consistency

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

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