Nonparametric function estimation for time series by local average estimators

DOI10.1214/aos/1176349163zbMath0790.62037OpenAlexW2031376680MaRDI QIDQ688404

Lanh Tat Tran

Publication date: 2 December 1993

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349163

zbMATH Keywords

sup-normstationary time seriesconditional mean functiondependence assumptionlocal average estimatorsoptimal rate of weak convergencestrong mixing property in the locally transitive sense

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items

Nonparametric time series regression ⋮ Consistency of modified kernel regression estimation for functional data ⋮ k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA ⋮ Kernel density estimation under weak dependence with sampled data ⋮ Efficient prediction for linear and nonlinear autoregressive models ⋮ Local polynomial fitting under association ⋮ Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence ⋮ Prediction in moving average processes ⋮ Nonparametric regression estimation for dependent functional data: asymptotic normality ⋮ A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence ⋮ Dependence and the dimensionality reduction principle ⋮ Nonparametric methods of inference for finite-state, inhomogeneous Markov processes ⋮ Fixed-design regression for linear time series ⋮ Fixed design regression for negatively associated random fields ⋮ Minimum distance regression-type estimates with rates under weak dependence ⋮ On asymptotic behavior of Nadaraya–Watson regression estimator ⋮ On uniform consistent estimators for convex regression ⋮ Wavelet-Based estimation of multivariate regression functions in besov spaces^* ⋮ Functional estimation for time series: Uniform convergence properties ⋮ Robust kernel estimators for additive models with dependent observations