Estimating error correlation in nonparametric regression

DOI10.1016/0167-7152(93)90219-9zbMath0788.62033OpenAlexW2041704125MaRDI QIDQ1314711

Naomi S. Altman

Publication date: 7 March 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/31596

zbMATH Keywords

bandwidthtime serieskernel smoothingmethod of momentsautocorrelationcorrelated errorsconsistentasymptotically normalhigh order asymptotic expansionestimates of error correlationskernel nonparametric regression

Mathematics Subject Classification ID

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

Related Items (7)

Plug-in bandwidth selector for local polynomial regression estimator with correlated errors ⋮ Kernel regression estimates of growth curves using nonstationary correlated errors ⋮ Two tests for heterocedasticity in nonparametric regression ⋮ Estimating nonlinear additive models with nonstationarities and correlated errors ⋮ Asymptotic theory for time series with changing mean and variance ⋮ Autoregressive coefficient estimation in nonparametric analysis ⋮ A Simple Estimator of Error Correlation in Non-parametric Regression Models

Cites Work

• Nonparametric curve estimation with time series errors
• An iterated cochrane-orcutt procedure for nonparametric regression
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