UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA

被引：36

作者：

Kristensen, Dennis ^{[1
]}

机构：

[1] Columbia Univ, Dept Econ, New York, NY 10027 USA

来源：

ECONOMETRIC THEORY | 2009年 / 25卷 / 05期

关键词：

NONPARAMETRIC-ESTIMATION; SEMIPARAMETRIC ESTIMATION; MODELS;

D O I：

10.1017/S0266466609090744

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The main uniform convergence results of Hansen (2008, Econometric Theory 24, 726-748) are generalized in two directions: Data are allowed to (a) be heterogeneously dependent and (b) depend on a (possibly unbounded) parameter. These results are useful in semiparametric estimation problems involving time-inhomogeneous models and/or sampling of continuous-time processes. The usefulness of these results is demonstrated by two applications: kernel regression estimation of a time-varying AR(1) model and the kernel density estimation of a Markov chain that has not been initialized at its stationary distribution.

引用

页码：1433 / 1445

页数：13

共 50 条

[41] Uniform convergence rate of kernel estimation with mixed categorical and continuous data
Li, Q
Ouyang, DS
[J]. ECONOMICS LETTERS, 2005, 86 (02) : 291 - 296
[42] Uniform convergence of estimator for nonparametric regression with dependent data
Li, Xiaoqin
Yang, Wenzhi
Hu, Shuhe
[J]. JOURNAL OF INEQUALITIES AND APPLICATIONS, 2016,
[43] Uniform convergence of estimator for nonparametric regression with dependent data
Xiaoqin Li
Wenzhi Yang
Shuhe Hu
[J]. Journal of Inequalities and Applications, 2016
[44] Convergence rates in weighted L1 spaces of kernel density estimators for linear processes
Schick, Anton
Wefelmeyer, Wolfgang
[J]. ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 2008, 4 : 117 - 129
[45] On the convergence rates of kernel estimator and hazard estimator for widely dependent samples
Yongming Li
Yong Zhou
Chao Liu
[J]. Journal of Inequalities and Applications, 2018
[46] On the convergence rates of kernel estimator and hazard estimator for widely dependent samples
Li, Yongming
Zhou, Yong
Liu, Chao
[J]. JOURNAL OF INEQUALITIES AND APPLICATIONS, 2018,
[47] Nonparametric Recursive Method for Generalized Kernel Estimators for Dependent Functional Data
Yousri Slaoui
[J]. Sankhya A, 2024, 86 : 392 - 430
[48] Nonparametric Recursive Method for Generalized Kernel Estimators for Dependent Functional Data
Slaoui, Yousri
[J]. SANKHYA-SERIES A-MATHEMATICAL STATISTICS AND PROBABILITY, 2024, 86 (01): : 392 - 430
[49] The rates of convergence of M-estimators for partly linear models in dependent cases
Shi, PD
Chen, XR
[J]. CHINESE ANNALS OF MATHEMATICS SERIES B, 1996, 17 (03) : 301 - 316
[50] THE RATES OF CONVERGENCE OF M-ESTIMATORS FOR PARTLY LINEAR MODELS IN DEPENDENT CASES
SHI PEIDE
CHEN XIRU(Department of Probability and St8tistics
[J]. Chinese Annals of Mathematics,Series B, 1996, (03) : 301 - 316

← 1 2 3 4 5 →