NON‐PARAMETRIC ESTIMATION WITH STRONGLY DEPENDENT MULTIVARIATE TIME SERIES

DOI10.1111/1467-9892.00041zbMath0923.62045OpenAlexW1966444535MaRDI QIDQ4221792

Javier Hidalgo

Publication date: 31 October 1999

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00041

zbMATH Keywords

central limit theoremHermite polynomialskernel density estimatornonparametric regressionAppell polynomialsstrong dependencemultivariate Gaussian processnon-central limit theoremsinfinite-order moving average

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

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