Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression

DOI10.1080/07474938.2016.1235305zbMath1490.62237OpenAlexW2531368251MaRDI QIDQ5860899

Chaohua Dong, J. T. Gao

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Expansion_and_estimation_of_L_vy_process_functionals_in_nonlinear_and_nonstationary_time_series_regression/4028400

zbMATH Keywords

Lévy processasymptotic theoryorthogonal series expansionseries estimationtime-inhomogeneous functional

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

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