On residual sums of squares in non-parametric autoregression

DOI10.1016/0304-4149(93)90112-HzbMath0784.62028OpenAlexW2042402821MaRDI QIDQ1313134

Howell Tong, Bing Cheng

Publication date: 19 January 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90112-h

zbMATH Keywords

asymptotic biaskernel methodnonlinear time series analysisnoise varianceresidual sum of squares\(U\)-statistics of dependent datacross validated residual sum of squaresfitting a nonlinear autoregressionleaving one out

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Some developments in semiparametric statistics ⋮ Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics ⋮ An integral estimator of residual variance and a measure of explanatory power of covariates in nonparametric regression

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