Nonparametric regression on hidden \(\Phi\)-mixing variables: identifiability and consistency of a pseudo-likelihood based estimation procedure

DOI10.3150/15-BEJ767zbMath1380.62168arXiv1209.0633MaRDI QIDQ520685

Thierry Dumont, Sylvain Le Corff

Publication date: 5 April 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.0633

zbMATH Keywords

maximum likelihood; identifiability; state space model; nonparametric estimation

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G20: Asymptotic properties of nonparametric inference

60G10: Stationary stochastic processes