UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION

DOI10.1017/S0266466615000109zbMath1441.62794MaRDI QIDQ5741623

Peter C. B. Phillips, Degui Li, J. T. Gao

Publication date: 29 July 2016

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference