Bootstrap inference in local polynomial regression of time series

DOI10.1007/S10260-006-0027-3zbMath1157.62023OpenAlexW2012004731MaRDI QIDQ1001747

Maria Lucia Parrella, Cosimo Damiano Vitale

Publication date: 24 February 2009

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-006-0027-3

zbMATH Keywords

local polynomial fittingnonparametric regression\(\alpha\)-mixing processeslocal bootstrap

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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Cites Work

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• Local bootstrap
• Mixing: Properties and examples
• Multivariate regression estimation: Local polynomial fitting for time series
• The local bootstrap for kernel estimators under general dependence conditions
• Bootstrap of kernel smoothing in nonlinear time series
• Multivariate locally weighted least squares regression
• Regression-type inference in nonparametric autoregression
• Multivariate local polynomial fitting for martingale nonlinear regression models
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Local Polynomial Estimation of Regression Functions for Mixing Processes

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