Nonparametric estimation equations for time series data.

DOI10.1016/S0167-7152(03)00042-7zbMath1104.62324OpenAlexW2023623773MaRDI QIDQ1423228

Zong-Wu Cai

Publication date: 14 February 2004

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(03)00042-7

zbMATH Keywords

fittingNonlinear time seriesRobustness\(\alpha\)-mixingLocal linearContinuous and discrete dataEstimation equations

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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On the nonparametric smooth estimation of the reversed hazard rate function ⋮ Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data ⋮ Local polynomial estimation of nonparametric general estimating equations ⋮ Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization ⋮ Local M-estimator for nonparametric time series. ⋮ A PARAMETER‐DRIVEN LOGIT REGRESSION MODEL FOR BINARY TIME SERIES ⋮ NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS ⋮ Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models ⋮ Local quasi-likelihood approach to varying-coefficient discrete-valued time series models ⋮ PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH ⋮ Semiparametric Regression for Time Series of Counts ⋮ Nonparametric multidimensional fixed effects panel data models

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