Nonparametric function estimation for time series by local average estimators

DOI10.1214/AOS/1176349163zbMATH Open0790.62037OpenAlexW2031376680MaRDI QIDQ688404FDOQ688404

Authors: Lanh Tat Tran 

Publication date: 2 December 1993

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349163

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zbMATH Keywords

stationary time seriessup-normconditional mean functiondependence assumptionlocal average estimatorsoptimal rate of weak convergencestrong mixing property in the locally transitive sense

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (25)

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• On uniform consistent estimators for convex regression
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• Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
• Nonparametric function estimation involving time series
• Efficient prediction for linear and nonlinear autoregressive models
• Fixed-design regression for linear time series
• Kernel density estimation under weak dependence with sampled data
• Nonparametric regression for locally stationary functional time series
• Dependence and the dimensionality reduction principle
• Nonparametric methods of inference for finite-state, inhomogeneous Markov processes
• On asymptotic behavior of Nadaraya–Watson regression estimator
• Fixed design regression for negatively associated random fields
• Adaptive deep learning for nonlinear time series models
• Functional estimation for time series: Uniform convergence properties
• Local polynomial fitting under association
• Nonparametric regression estimation for dependent functional data: asymptotic normality
• Prediction in moving average processes
• Nonparametric time series regression
• Robust kernel estimators for additive models with dependent observations
• Consistency of modified kernel regression estimation for functional data
• Wavelet-Based estimation of multivariate regression functions in besov spaces^*
• \(k\)-nearest neighbor estimation of inverse-density-weighted expectations with dependent data

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