On nonparametric estimation in nonlinear
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Marc Hoffmann
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Article
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1999
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Elsevier Science
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English
β 165 KB
We estimate the mean function and the conditional variance (the volatility function) of a nonlinear ΓΏrst-order autoregressive model nonparametrically. Minimax rates of convergence are established over a scale of Besov bodies Bspq and a range of global L p error measurements, for 16p Β‘ β. We propose