Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval
DOI10.1016/J.JMVA.2014.09.017zbMATH Open1302.62197OpenAlexW1987946366WikidataQ42984918 ScholiaQ42984918MaRDI QIDQ476245FDOQ476245
Authors: Zhibiao Zhao, Seon Jin Kim, Xiaofeng Shao 
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
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nonparametric regressiontime seriesself-normalizationfunctional central limit theoremconditional heteroscedasticity
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Functional limit theorems; invariance principles (60F17)
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Cited In (6)
- Hypothesis testing for high-dimensional time series via self-normalization
- A time-symmetric self-normalization approach for inference of time series
- Asymptotic behavior of optimal weighting in generalized self-normalization for time series
- Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models
- Functional central limit theorems for self-normalized least squares processes in regression with possibly infinite variance data
- A self-normalized confidence interval for the mean of a class of nonstationary processes
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