Large bandwidth asymptotics for Nadaraya-Watson auto-regression estimator

DOI10.1016/j.jkss.2008.02.003zbMath1293.62192OpenAlexW2081515940MaRDI QIDQ2510031

Sangyeol Lee, Tae Yoon Kim, Myung-Sang Moon

Publication date: 31 July 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2008.02.003

zbMATH Keywords

bandwidthNadaraya-Watson estimatormean integrated square errorauto-regressive predictor

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (max. 100)

Central limit theorems for nonparametric estimators with real-time random variables

Cites Work

• Nonparametric statistics for stochastic processes
• On local likelihood density estimation when the bandwidth is large
• A Class of Local Likelihood Methods and Near-Parametric Asymptotics
• A Review of Nonparametric Time Series Analysis
• Local likelihood method: a bridge over parametric and nonparametric regression

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