Kernel estimation for time series: an asymptotic theory

DOI10.1016/j.spa.2010.08.001zbMath1201.62054OpenAlexW2051382454MaRDI QIDQ608217

Yinxiao Huang, Yibi Huang, Wei-Biao Wu

Publication date: 25 November 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.08.001

zbMATH Keywords

Markov chainskernel estimationcentral limit theoremmartingalelinear processesnonlinear time seriesregressionFejér kernelprediction theorymean concentration functionsensitivity measure

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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Uses Software

• KernSmooth
• FinTS

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