Asymptotic Properties of the ISE in Nonparametric Regressions with Serially Correlated Errors

DOI10.1081/STA-200054445zbMath1067.62040OpenAlexW2044812971MaRDI QIDQ4681058

Xian Zhou, Xianyi Wu, Jin-hong You

Publication date: 14 June 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-200054445

zbMATH Keywords

kernel smoothinglaw of large numberscentral limit theoremmartingalenonparametric estimatorsserially correlated errorsnonparametric regression functionintegrated square error (ise)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Cites Work

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• Nonparametric curve estimation with time series errors
• An extension of Lai and Wei's law of the iterated logarithm with applications to time series analysis and regression
• Prediction of multivariate time series by autoregressive model fitting
• Integrated square error of nonparametric estimators of regression function: The fixed design case
• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• On Estimation of a Probability Density Function and Mode

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