Nonparametric estimation equations for time series data

Zongwu Cai ()

Statistics & Probability Letters, 2003, vol. 62, issue 4, 379-390

Abstract: In this article, the nonparametric version of estimation equations is investigated, which unifies various statistical methodologies, for both nonlinear discrete and continuous time series data. The weak consistency and asymptotic normality of the resulting estimators are established. Under this general framework, a nonparametric regression estimator can be obtained easily and the asymptotic theory can be derived without going through case-by-case.

Keywords: [alpha]-mixing; Continuous; and; discrete; data; Estimation; equations; Local; linear; fitting; Nonlinear; time; series; Robustness (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (8)

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