Nonparametric regression with rescaled time series errors

DOI10.1111/JTSA.12017zbMath1273.62085OpenAlexW2117779216MaRDI QIDQ2852596

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Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12017

zbMATH Keywords

heteroscedasticsemiparametric estimatorsautoregressive error processdifference-based estimation approach

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Asymptotic theory for time series with changing mean and variance

Cites Work

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• Efficient estimation of conditional variance functions in stochastic regression
• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
• Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
• Functional-Coefficient Autoregressive Models
• The Lindeberg-Levy Theorem for Martingales

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