Nonparametric time series regression

DOI10.1007/BF01720585zbMath0805.62045OpenAlexW2074349753MaRDI QIDQ1336524

Young K. Truong

Publication date: 3 November 1994

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01720585

zbMATH Keywords

kernel estimatornonparametric regressionoptimal rate of convergencelocal polynomial estimatorscompactsbivariate stationary time seriesk-times differentiable regression functionnonlinear time series problems

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

A nonparametric conditional mode estimate

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Threshold models in non-linear time series analysis
• Nonparametric function estimation for time series by local average estimators
• Approximation theorems for strongly mixing random variables
• An introduction to bispectral analysis and bilinear time series models
• Current developments in time series modelling
• Optimal rates of convergence for nonparametric estimators
• Nonparametric curve estimation from time series
• Nonparametric function estimation involving time series
• Optimal global rates of convergence for nonparametric regression
• Fitting autoregressive models for prediction
• Conditions for linear processes to be strong-mixing
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• On the Strong Mixing Property for Linear Sequences
• SEMIPARAMETRIC TIME SERIES REGRESSION
• Recursive density estimation under dependence