Uniform Rates for Kernel Estimators of Weakly Dependent Data

Juan Carlos Escanciano

Papers from arXiv.org

Abstract: This paper provides new uniform rate results for kernel estimators of absolutely regular stationary processes that are uniform in the bandwidth and in infinite-dimensional classes of dependent variables and regressors. Our results are useful for establishing asymptotic theory for two-step semiparametric estimators in time series models. We apply our results to obtain nonparametric estimates and their rates for Expected Shortfall processes.

Date: 2020-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2005.09951

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