A large deviation inequality for -mixing time series and its applications to the functional kernel regression model

DOI10.1016/J.SPL.2017.09.013zbMATH Open1380.62235arXiv1701.05380OpenAlexW2728987053MaRDI QIDQ680473FDOQ680473

Authors: Johannes T. N. Krebs 

Publication date: 23 January 2018

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

Abstract: We give a new large deviation inequality for sums of random variables of the form $Z_k=f(X_k,X_t)$ for $k,tinmathbbN$, $t$ fixed, where the underlying process $X$ is $$-mixing. The inequality can be used to derive concentration inequalities. We demonstrate its usefulness in the functional kernel regression model of Ferraty et al. (2007) where we study the consistency of dynamic forecasts.

Full work available at URL: https://arxiv.org/abs/1701.05380

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zbMATH Keywords

functional data analysistime seriesnonparametric statistics\(\beta\)-mixinglarge deviation inequalityasymptotic inequalities

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Nonparametric statistical resampling methods (62G09)

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Cited In (2)

• Non-parametric regression for spatially dependent data with wavelets
• Concentration inequalities for kernel density estimators under uniform mixing

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