Kernel-based nonlinear canonical analysis and time reversibility

DOI10.1016/S0304-4076(03)00199-4zbMath1282.91265OpenAlexW2144048442WikidataQ56602074 ScholiaQ56602074MaRDI QIDQ2439046

Serge Darolles, Christian Gouriéroux, Jean-Pierre Florens

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00199-4

zbMATH Keywords

kernel estimatorshigh-frequency datanonlinear canonical analysisdiffusion equationsreversibility hypothesis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84)

Related Items

A versatile and robust metric entropy test of time-reversibility, and other hypotheses, Canonical analysis relative to a closed subspace, TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS, Wavelets-based estimation of nonlinear canonical analysis, A copula spectral test for pairwise time reversibility, Peaks, gaps, and time‐reversibility of economic time series, Nonparametric estimation of a scalar diffusion model from discrete time data: a survey, Assessing Time-Reversibility Under Minimal Assumptions, Noncausal counting processes: a queuing perspective, Truncated dynamics and estimation of diffusion equations, Nonlinear principal components and long-run implications of multivariate diffusions, NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Integrated square error properties of kernel estimators of regression functions
• Nonparameteric estimation in mixing sequences of random variables
• A quadratic measure of deviation of two-dimensional density estimates and a test of independence
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Spectral methods for identifying scalar diffusions
• Approximating payoffs and pricing formulas
• Nonlinear canonical analysis and independence tests
• Modeling volatility persistence of speculative returns: a new approach
• On some global measures of the deviations of density function estimates
• State‐space Models with Finite Dimensional Dependence
• Remarks on Some Nonparametric Estimates of a Density Function
• The Structure of Bivariate Distributions
• The general theory of canonical correlation and its relation to functional analysis
• Analysis 4: Discriminant analysis of seal data
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Nonparametric Instrumental Regression
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Asymptotic Theory for Principal Component Analysis
• RELATIONS BETWEEN TWO SETS OF VARIATES
• A limit distribution of the square error deviation of nonparametric estimators of the regression function
• Truncated dynamics and estimation of diffusion equations