Nonparametric identification for nonlinear autoregressive time series models: Convergence rates

DOI10.1142/S0252959999000205zbMATH Open0936.62039OpenAlexW2302558924MaRDI QIDQ1302278

Ping Cheng, Zudi Lu

Publication date: 18 May 2000

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0252959999000205

zbMATH Keywords

consistencyoptimal convergence rateskernel approachnonlinear AR modelautoregression functionvariance of white noise

Mathematics Subject Classification ID

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

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