Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

Jiti Gao, Shin Kanaya, Degui Li and Dag Tjøstheim ()
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Dag Tjøstheim: University of Bergen, Postal: Department of Mathematics, University of Bergen, Johannes Bruns gate 12, N-5008 Bergen, Norway

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our results can be viewed as a nonstationary extension of some well-known uniform consistency results for stationary time series.

Keywords: ß-null recurrence; Harris recurrent Markov chain; nonparametric estimation; rate of convergence; uniform consistency (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Pages: 40
Date: 2013-11-09
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES (2015)
Working Paper: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series (2011)
Working Paper: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2013-29

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