Sieve bootstrap for smoothing in nonstationary time series

DOI10.1214/aos/1030563978zbMath0934.62039OpenAlexW2000647303MaRDI QIDQ90970

Peter Bühlmann, Peter Bühlmann

Publication date: 1 February 1998

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

Full work available at URL: https://doi.org/10.1214/aos/1030563978

zbMATH Keywords

kernel smoothingnonparametric regressionARMAAICsimultaneous confidence bandsautoregressive approximationsecond-order correctness

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

Related Items

Bootstraps for time series, Testing for structural change in regression with long memory processes, Bootstrap confidence intervals for a break date in linear regressions, A Bootstrap Test for Symmetry of Dependent Data Based on a Kolmogorov–Smirnov Type Statistic, Local block bootstrap inference for trending time series, Bootstrap Methods for Time Series, Frequency domain bootstrap for the fractional cointegration regression, Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series, A testing approach to clustering scalar time series, Sieve bootstrap inference for linear time-varying coefficient models, Confidence bands in nonparametric time series regression, Size improvement of the KPSS test using sieve bootstraps, Nonparametric testing for long-horizon predictability with persistent covariates, On bootstrap inference in cointegrating regressions, edecob, Simultaneous nonparametric inference of time series, Autoregressive wild bootstrap inference for nonparametric trends, Hybrid bootstrap aided unit root testing, Bootstrapping I(1) data, A local factor nonparametric test for trend synchronism in multiple time series, Bootstrap methods for dependent data: a review, Computational framework for longevity risk management, SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS, An overview of bootstrap methods for estimating and predicting in time series, Recent developments in bootstrapping time series, Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonparametric regression with long-range dependence
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Nonparametric curve estimation with time series errors
• Autocorrelation, autoregression and autoregressive approximation
• Time series: theory and methods
• Edgeworth correction by bootstrap in autoregressions
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Probability approximations via the Poisson clumping heuristic
• On bootstrap confidence intervals in nonparametric regression
• A new mixing notion and functional central limit theorems for a sieve bootstrap in time series
• Sieve bootstrap for time series
• The jackknife and the bootstrap for general stationary observations
• Moving-average representation of autoregressive approximations
• On some global measures of the deviations of density function estimates
• Bootstrap simultaneous error bars for nonparametric regression
• Local linear regression smoothers and their minimax efficiencies
• REGRESSION, AUTOREGRESSION MODELS
• SOME THEORY ON M-SMOOTHING OF TIME SERIES
• Bootstrapping in Nonparametric Regression: Local Adaptive Smoothing and Confidence Bands
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• Choice of bandwidth for kernel regression when residuals are correlated
• Confidence Bands in Nonparametric Regression
• Some uses if cumulants in wavelet analysis