Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
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asymptotic theoryLévy processorthogonal series expansionseries estimationtime-inhomogeneous functional
Processes with independent increments; Lévy processes (60G51) Asymptotic distribution theory in statistics (62E20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites work
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
- Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
- Estimation in semi-parametric regression with non-stationary regressors
- Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables
- Functional-coefficient cointegration models
- Functional-coefficient models for nonstationary time series data
- scientific article; zbMATH DE number 646819 (Why is no real title available?)
- scientific article; zbMATH DE number 2042814 (Why is no real title available?)
- Limit theorems for nonlinear cointegrating regression
- Local limit theory and spurious nonparametric regression
- Modelling Nonlinear Economic Time Series
- Nonlinear Regressions with Integrated Time Series
- Nonlinear Time Series
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric econometrics. Theory and practice.
- Nonparametric estimation in a nonlinear cointegration type model
- Nonparametric estimation in null recurrent time series.
- Null recurrent unit root processes
- Real Analysis and Probability
- Semiparametric estimation in triangular system equations with nonstationarity
- Stochastic processes and orthogonal polynomials
- Structural nonparametric cointegrating regression
- Time Series Regression with a Unit Root
Cited in
(3)- Global temperatures and greenhouse gases: a common features approach
- Improvement of the nonparametric estimation of functional stationary time series using Yeo-Johnson transformation with application to temperature curves
- Improved robust model selection methods for a Lévy nonparametric regression in continuous time
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