Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval
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Cites work
- scientific article; zbMATH DE number 469135 (Why is no real title available?)
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A self-normalized approach to confidence interval construction in time series
- An Effective Bandwidth Selector for Local Least Squares Regression
- Fixed accuracy estimation of an autoregressive parameter
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Inference for Linear Models with Dependent Errors
- Inference of Trends in Time Series
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric econometrics. Theory and practice.
- Nonparametric estimation of a conditional quantile for \(\alpha\)-mixing processes
- Parametric inference in stationary time series models with dependent errors
- Simple Robust Testing of Regression Hypotheses
- Testing That a Dependent Process Is Uncorrelated
- Testing for change points in time series
- Unified inference for sparse and dense longitudinal models
- Weak convergence for weighted empirical processes of dependent sequences
Cited in
(7)- Hypothesis testing for high-dimensional time series via self-normalization
- A self-normalized approach to confidence interval construction in time series
- 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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