Limit Theorems for Nonlinear Cointegrating Regression

DOI10.1142/9586zbMath1361.60004OpenAlexW2485043181MaRDI QIDQ3449906

Qiying Wang

Publication date: 30 October 2015

Full work available at URL: https://doi.org/10.1142/9586

zbMATH Keywords

martingalesNadaraya-Watson estimatorlocal timelimit theoremsstochastic integralsparametric estimationmixture of normal distributionsnonlinear cointegrating regression

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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