Nonparametric estimation from time series residuals
Robinson, P.
(1986).
Nonparametric estimation from time series residuals.
Cahiers du Centre d'études de Recherche Opérationnelle,
28(1), 197-208.
We consider the nonparametric estimation of the distribution of innovations εt in a stationary autoregression. We obtain estimators of the kernel of the probability density of εt and its derivatives from the estimated residuals of the Yule-Walker estimator of the autoregressive coefficients.
| Item Type | Article |
|---|---|
| Copyright holders | © 1986 Centre d'études de recherche opérationnelle |
| Departments | LSE > Academic Departments > Economics |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1486 |