Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression

DOI10.3150/12-BEJ482zbMath1398.60066arXiv1402.0966MaRDI QIDQ2444664

Qiying Wang, Nigel H. N. Chan

Publication date: 10 April 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.0966

zbMATH Keywords

uniform convergencemartingalenon-stationaritynon-linearitynon-parametric regressionHarris recurrent Markov chain

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Martingales with discrete parameter (60G42) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) General nonlinear regression (62J02) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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