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Nonparametric estimation in a nonlinear cointegration type model

✍ Scribed by Karlsen, Hans Arnfinn; Myklebust, Terje; Tjøstheim, Dag

Book ID
124162211
Publisher
Institute of Mathematical Statistics
Year
2007
Tongue
English
Weight
515 KB
Volume
35
Category
Article
ISSN
0090-5364

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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