Time-varying nonlinear regression models: nonparametric estimation and model selection
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Publication:2343961
DOI10.1214/14-AOS1299zbMath1312.62046arXiv1503.05289OpenAlexW3105943614MaRDI QIDQ2343961
Publication date: 11 May 2015
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.05289
nonstationary processesinformation criterionlocal linear estimationnonparametric model selectiontime-varying nonlinear regression models
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) General nonlinear regression (62J02) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Uses Software
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