Nonparametric regression estimation in a null recurrent time series

DOI10.1016/j.jspi.2010.04.029zbMath1233.62081OpenAlexW1967875545MaRDI QIDQ993800

Terje Myklebust, Dag Tjøstheim, Hans Arnfinn Karlsen

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.029

zbMATH Keywords

regressionnonparametric kernel estimatorsnonstationary time seriestransfer function modelnull recurrent Markov chains

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) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES ⋮ NULL RECURRENT UNIT ROOT PROCESSES ⋮ Robust nonlinear regression estimation in null recurrent time series ⋮ Semiparametric methods in nonlinear time series analysis: a selective review ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives

Cites Work

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• NULL RECURRENT UNIT ROOT PROCESSES
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• NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS

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