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Local Estimation in AR Models with Nonparametric ARCH Errors

✍ Scribed by Zhu, Fukang; Wang, Dehui


Book ID
126682887
Publisher
Taylor and Francis Group
Year
2008
Tongue
English
Weight
517 KB
Volume
37
Category
Article
ISSN
0361-0926

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On nonparametric estimation in nonlinear
✍ Marc Hoffmann πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 165 KB

We estimate the mean function and the conditional variance (the volatility function) of a nonlinear ÿrst-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 ‘ ∞. We propose