Kernel estimation for time series: An asymptotic theory
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Doukhan, Paul & Louhichi, Sana, 1999. "A new weak dependence condition and applications to moment inequalities," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 313-342, December.
- Doukhan, Paul & Wintenberger, Olivier, 2008. "Weakly dependent chains with infinite memory," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 1997-2013, November.
- Rosenblatt, M., 2009. "A comment on a conjecture of N. Wiener," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 347-348, February.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Castellana, J. V. & Leadbetter, M. R., 1986. "On smoothed probability density estimation for stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 21(2), pages 179-193, February.
- Singh, Radhey S. & Ullah, Aman, 1985.
"Nonparametric Time-Series Estimation of Joint DGP, Conditional DGP, and Vector Autoregression,"
Econometric Theory, Cambridge University Press, vol. 1(1), pages 27-52, April.
- Radhey S. Singh & Aman Ullah, 1984. "Nonparametric Time Series Estimation of Joint DGP, Conditional DGP and Vector Autoregression," University of Western Ontario, Departmental Research Report Series 8423, University of Western Ontario, Department of Economics.
- Wolfgang Härdle & Helmut Lütkepohl & Rong Chen, 1997.
"A Review of Nonparametric Time Series Analysis,"
International Statistical Review, International Statistical Institute, vol. 65(1), pages 49-72, April.
- Härdle, Wolfgang & Lütkepohl, H. & Chen, R., 1996. "A Review of Nonparametric Time Series Analysis," SFB 373 Discussion Papers 1996,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- P. M. Robinson, 1983. "Nonparametric Estimators For Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(3), pages 185-207, May.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Timothy Fortune & Hailin Sang, 2020. "Shannon Entropy Estimation for Linear Processes," JRFM, MDPI, vol. 13(9), pages 1-13, September.
- Didi, Sultana & Louani, Djamal, 2013. "Consistency results for the kernel density estimate on continuous time stationary and dependent data," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1262-1270.
- Gourieroux, Christian & Jasiak, Joann, 2019.
"Robust analysis of the martingale hypothesis,"
Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
- Christian Gouriéroux & Joann Jasiak, 2016. "Robust Analysis of the Martingale Hypothesis," Working Papers 2016-18, Center for Research in Economics and Statistics.
- Koul, Hira L. & Zhu, Xiaoqing, 2015. "Goodness-of-fit testing of error distribution in nonparametric ARCH(1) models," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 141-160.
- Toshio Honda, 2013.
"Nonparametric quantile regression with heavy-tailed and strongly dependent errors,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(1), pages 23-47, February.
- Toshio Honda, 2010. "Nonparametric Quantile Regression with Heavy-Tailed and Strongly Dependent Errors," Global COE Hi-Stat Discussion Paper Series gd10-157, Institute of Economic Research, Hitotsubashi University.
- Leonie Selk & Natalie Neumeyer, 2013. "Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 770-788, December.
- Longla, Martial & Peligrad, Magda & Sang, Hailin, 2015. "On kernel estimators of density for reversible Markov chains," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 149-157.
- Salim Bouzebda & Mohamed Chaouch & Sultana Didi Biha, 2022. "Asymptotics for function derivatives estimators based on stationary and ergodic discrete time processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 737-771, August.
- Giovanni Ballarin, 2023. "Impulse Response Analysis of Structural Nonlinear Time Series Models," Papers 2305.19089, arXiv.org, revised Feb 2025.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mohamed Chikhi & Claude Diebolt, 2010.
"Nonparametric analysis of financial time series by the Kernel methodology,"
Quality & Quantity: International Journal of Methodology, Springer, vol. 44(5), pages 865-880, August.
- Mohamed Chikhi & Claude Diebolt, 2006. "Nonparametric Analysis of Financial Time Series by the Kernel Methodology," Working Papers 06-11, Association Française de Cliométrie (AFC).
- CHIKHI, Mohamed, 2017. "Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange [Exogenous Shocks and nonlinearity in the stock exchange seri," MPRA Paper 76691, University Library of Munich, Germany, revised 2017.
- CHIKHI, Mohamed, 2009. "Identification non paramétrique d’un processus non linéaire hétéroscédastique [Nonparametric identification of heteroscedastic nonlinear process]," MPRA Paper 82108, University Library of Munich, Germany, revised 2009.
- Chikhi, Mohamed & Terraza, Michel, 2002. "Un essai de prévision non paramétrique de l'action France Télécom [A nonparametric prediction test of the France Telecom stock proces]," MPRA Paper 77268, University Library of Munich, Germany, revised Dec 2003.
- Liliana Forzani & Ricardo Fraiman & Pamela Llop, 2013. "Density estimation for spatial-temporal models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(2), pages 321-342, June.
- Christian M. Hafner & Dick van Dijk & Philip Hans Franses, 2006.
"Semi-Parametric Modelling of Correlation Dynamics,"
Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 59-103,
Emerald Group Publishing Limited.
- Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005. "Semi-Parametric Modelling of Correlation Dynamics," Econometric Institute Research Papers EI 2005-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Vasiliki Christou & Konstantinos Fokianos, 2014. "Quasi-Likelihood Inference For Negative Binomial Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 55-78, January.
- Oliver Linton & Douglas Steigerwald, 2000.
"Adaptive testing in arch models,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
- Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation for Research in Economics, Yale University.
- Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, January.
- Bai, Zhidong & Hui, Yongchang & Wong, Wing-Keung, 2012. "New Non-Linearity Test to Circumvent the Limitation of Volterra Expansion," MPRA Paper 41872, University Library of Munich, Germany.
- Lijian Yang & Wolfgang Hardle & Jens Nielsen, 1999.
"Nonparametric Autoregression with Multiplicative Volatility and Additive mean,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 579-604, September.
- Yang, L. & Härdle, Wolfgang, 1996. "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," SFB 373 Discussion Papers 1996,62, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Yang, Lijian & Härdle, Wolfgang & Nielsen, Jens P., 1998. "Nonparametric autoregression with multiplicative volatility and additive mean," SFB 373 Discussion Papers 1998,107, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Hong, Seok Young & Linton, Oliver, 2020.
"Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
- Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
- Kanazawa, Nobuyuki, 2020.
"Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks,"
Journal of Macroeconomics, Elsevier, vol. 64(C).
- KANAZAWA, Nobuyuki & 金澤, 伸幸, 2018. "Radial Basis Functions Neural Networks for Nonlinear Time Series Analysis and Time-Varying Effects of Supply Shocks," Discussion paper series HIAS-E-64, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
- Heiler, Siegfried, 1999. "A Survey on Nonparametric Time Series Analysis," CoFE Discussion Papers 99/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
- Moysiadis, Theodoros & Fokianos, Konstantinos, 2014. "On binary and categorical time series models with feedback," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 209-228.
- Dette, Holger & Weißbach, Rafael, 2009. "A bootstrap test for the comparison of nonlinear time series," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1339-1349, February.
- Shimizu, Kenichi, 2014. "Bootstrapping the nonparametric ARCH regression model," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 61-69.
More about this item
Keywords
Kernel estimation Nonlinear time series Regression Central limit theorem Martingale Markov chains Linear processes Sensitivity measure Prediction theory Mean concentration function Fejer kernel;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:120:y:2010:i:12:p:2412-2431. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.