Nonparametric estimation from time series residuals
Robinson, Peter
(1986)
Nonparametric estimation from time series residuals.
Cahiers du Centre d'études de Recherche Opérationnelle, 28 (1).
pp. 197-208.
ISSN 0008-9737
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 |
|---|---|
| Keywords | non parametric estimation,time series,autoregression,stationary process,kernel method,autoregressive model |
| Departments | Economics |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1486 |