On nonparametric estimation in nonlinear AR(1)-models

Marc Hoffmann ()

Statistics & Probability Letters, 1999, vol. 44, issue 1, 29-45

Abstract: We estimate the mean function and the conditional variance (the volatility function) of a nonlinear first-order autoregressive model nonparametrically. Minimax rates of convergence are established over a scale of Besov bodies Bspq and a range of global Lp' error measurements, for 1[less-than-or-equals, slant]p'

Keywords: Minimax; estimation; Adaptive; estimation; Weak; dependence; Time; series; Nonparametric; regression; Wavelet; thresholding (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (3)

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