Nonparametric regression for locally stationary time series

DOI10.1214/12-AOS1043zbMATH Open1373.62459arXiv1302.4198OpenAlexW3103828398MaRDI QIDQ741799FDOQ741799

Authors: Michael Vogt 

Publication date: 15 September 2014

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

Abstract: In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the time-varying regression function and provide asymptotic theory for our estimates. Moreover, we show that the main conditions of the theory are satisfied for a large class of nonlinear autoregressive processes with a time-varying regression function. Finally, we examine structured models where the regression function splits up into time-varying additive components. As will be seen, estimation in these models does not suffer from the curse of dimensionality.

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

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zbMATH Keywords

nonparametric regressionlocal stationaritysmooth backfitting

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)

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Cited In (88)

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