An orthogonal series estimate of time-varying regression

zbMath0536.62072MaRDI QIDQ792052

Danuta Rutkowska, Włodzimierz Greblicki, Leszek Rutkowski

Publication date: 1983

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic propertiesHermite polynomialsorthogonal series estimatesLegendre systemsnonstationary regression functionRobbins-Monro approximationunknown Fourier coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric estimation (62G05) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10)

Related Items (2)

On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators ⋮ Nonparametric regression: An up–to–date bibliography

Cites Work

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• Asymptotic properties of kernel estimates of a regression function
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• Estimation of a regression function by the parzen kernel-type density estimators
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• On the L 1 convergence of kernel estimators of regression functions with applications in discrimination
• A Dynamic Stochastic Approximation Method
• Estimation of Probability Density by an Orthogonal Series
• The Estimation of Probability Densities and Cumulatives by Fourier Series Methods
• On Strong Consistency of Density Estimates
• On a Stochastic Approximation Method

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