Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval
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Publication:476245
DOI10.1016/j.jmva.2014.09.017zbMath1302.62197WikidataQ42984918 ScholiaQ42984918MaRDI QIDQ476245
Zhibiao Zhao, Xiao-Feng Shao, Seon Jin Kim
Publication date: 28 November 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.09.017
functional central limit theorem; time series; nonparametric regression; self-normalization; conditional heteroscedasticity
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G15: Nonparametric tolerance and confidence regions
60F17: Functional limit theorems; invariance principles
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