On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators
Robinson, P.
(1986).
On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators.
Annals of the Institute of Statistical Mathematics,
38(1), 539-549.
https://doi.org/10.1007/BF02482541
Kernel estimators of conditional expectations and joint probability densities are studied in the context of a vector-valued stationary time series. Weak consistency is established under minimal moment conditions and under a hierarchy of weak dependence and bandwidth conditions. Prompted by these conditions, some finite-sample theory explores the effect of serial dependence on variability of estimators, and its implications for choice of bandwidth.
| Item Type | Article |
|---|---|
| Copyright holders | © 1986 Institute of Statistical Mathematics |
| Departments | LSE > Academic Departments > Economics |
| DOI | 10.1007/BF02482541 |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1405 |
Explore Further
- http://www.lse.ac.uk/economics/people/faculty/peter-robinson.aspx (Author)
- https://www.scopus.com/pages/publications/51249175937 (Scopus publication)
- http://www.springer.com/statistics/journal/10463 (Official URL)