Nonparametric regression for locally stationary time series

DOI10.1214/12-AOS1043zbMath1373.62459arXiv1302.4198OpenAlexW3103828398MaRDI QIDQ741799

Michael Vogt

Publication date: 15 September 2014

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

Full work available at URL: https://arxiv.org/abs/1302.4198

zbMATH Keywords

nonparametric regressionlocal stationaritysmooth backfitting

Mathematics Subject Classification ID

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

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