Functional regression of continuous state distributions

DOI10.1016/j.jeconom.2011.09.024zbMath1441.62829OpenAlexW2081800426MaRDI QIDQ738165

Junhui Qian, Joon Y. Park

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.024

zbMATH Keywords

functional regressionmoment dependencetime-varying density

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items

Functional linear regression with functional response, PCA-based estimation for functional linear regression with functional responses, Functional principal component analysis for cointegrated functional time series, Cointegrated linear processes in Bayes Hilbert space, Trends in distributional characteristics: existence of global warming, Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate, Nonstationarity in time series of state densities, A moment-based notion of time dependence for functional time series

Uses Software

• fda (R)

Cites Work

• CLT in functional linear regression models
• Weak convergence in the functional autoregressive model
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Functional data analysis
• Regression Quantiles
• A family of minimax rates for density estimators in continuous time
• Bootstrap Unit Root Tests