Weighted Nadaraya-Watson regression estimation

DOI10.1016/S0167-7152(00)00172-3zbMath0967.62024MaRDI QIDQ5934114

Zong-Wu Cai

Publication date: 25 July 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

alpha-mixing; Nadaraya-Watson estimator; time series analysis; forecasting; local linear smoothers; minimax efficiency; prediction interval

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

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

62G20: Asymptotic properties of nonparametric inference

62F35: Robustness and adaptive procedures (parametric inference)

Related Items

On Conditional Density Estimation, Re-weighted functional estimation of second-order diffusion processes, Reweighted Nadaraya-Watson estimation of jump-diffusion models, Asymptotic normality of kernel type regression estimators for random fields, Single-index modelling of conditional probabilities in two-way contingency tables, Unstable volatility: the break-preserving local linear estimator, Weighted nonparametric regression estimation with truncated and dependent data, REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS

Uses Software

• KernSmooth

Cites Work

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