Weighted Nadaraya-Watson regression estimation

DOI10.1016/S0167-7152(00)00172-3zbMath0967.62024OpenAlexW2013220899WikidataQ127353050 ScholiaQ127353050MaRDI QIDQ5934114

Zong-Wu Cai

Publication date: 25 July 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00172-3

zbMATH Keywords

alpha-mixingNadaraya-Watson estimatortime series analysisforecastinglocal linear smoothersminimax efficiencyprediction interval

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (11)

Nonparametric estimation of conditional VaR and expected shortfall ⋮ Asymptotic normality of kernel type regression estimators for random fields ⋮ Re-weighted functional estimation of second-order diffusion processes ⋮ Reweighted Nadaraya-Watson estimation of jump-diffusion models ⋮ Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data ⋮ REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS ⋮ On Conditional Density Estimation ⋮ Single-index modelling of conditional probabilities in two-way contingency tables ⋮ Spatially smoothed kernel densities with application to crop yield distributions ⋮ Unstable volatility: the break-preserving local linear estimator ⋮ Weighted nonparametric regression estimation with truncated and dependent data

Uses Software

• KernSmooth

Cites Work

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