Semi-Parametric Density Estimation for Time-Series with Multiplicative Adjustment

DOI10.1080/03610920701635257zbMath1163.62319OpenAlexW1981663368MaRDI QIDQ3634535

Kai-Ping Wang, Lu Lin

Publication date: 25 June 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701635257

zbMATH Keywords

time seriessemi-parametric density estimationmultiplicative adjustment

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (3)

The generalized Pearson family of distributions and explicit representation of the associated density functions ⋮ GMM and misspecification correction for misspecified models with diverging number of parameters ⋮ Multiplicative Adjustment Method for Semiparametric Regression with Mixing Dependent Data

Cites Work

• Exact mean integrated squared error
• Mixing: Properties and examples
• Locally parametric nonparametric density estimation
• Semiparametric density estimation by local \(L_ 2\)-fitting.
• Nonparametric density estimation with a parametric start
• Nonparametric statistics for stochastic processes
• Introduction to Time Series and Forecasting

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