Nonparametric specification for non-stationary time series regression

DOI10.3150/12-BEJ477zbMath1400.62205arXiv1402.0722OpenAlexW2078908416MaRDI QIDQ2444659

Zhou Zhou

Publication date: 10 April 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.0722

zbMATH Keywords

weak dependencelocal stationaritylocal linear regressionfunctional linear modelswild bootstrapgeneralized likelihood ratio testsconditional heteroscedasticity

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (4)

On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations ⋮ Nonparametric regression for locally stationary random fields under stochastic sampling design ⋮ Nonparametric regression for locally stationary functional time series ⋮ Towards a general theory for nonlinear locally stationary processes

Uses Software

• fda (R)

Cites Work

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