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Simultaneous nonparametric inference of time series

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4612-3686-3openalex-snapshot

Nonparametric Curve Estimation from Time Series

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Nonparametric Statistics for Stochastic Processes

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On the gaussian approximation of convolutions under multidimensional analogues of S.N. Bernstein's inequality conditions

inferredcites →https://doi.org/10.1016/0047-259x(82)90074-4openalex-snapshot

Probabilities of maximal deviations for nonparametric regression function estimates

inferredcites →https://doi.org/10.1016/0047-259x(88)90127-3openalex-snapshot

On confidence bands in nonparametric density estimation and regression

inferredcites →https://doi.org/10.1016/0304-405x(77)90016-2openalex-snapshot

An equilibrium characterization of the term structure

inferredcites →https://doi.org/10.1016/b978-012598275-7.50015-6openalex-snapshot

Nonparametric Pricing of Interest Rate Derivative Securities

inferredcites →https://doi.org/10.1016/s0304-4149(99)00055-1openalex-snapshot

A new weak dependence condition and applications to moment inequalities

inferredcites →https://doi.org/10.1073/pnas.0506715102openalex-snapshot

Nonlinear system theory: Another look at dependence

inferredcites →https://doi.org/10.1080/01621459.1985.10478169openalex-snapshot

Confidence Bands for Regression Functions

inferredcites →https://doi.org/10.1080/02331880601107064openalex-snapshot

Weak dependence for infinite ARCH-type bilinear models

inferredcites →https://doi.org/10.1086/260062openalex-snapshot

The Pricing of Options and Corporate Liabilities

inferredcites →https://doi.org/10.1090/s0002-9904-1969-12237-8openalex-snapshot

An asymptotic representation of the sample distribution function

inferredcites →https://doi.org/10.1093/biomet/68.1.165openalex-snapshot

Fractional Differencing

inferredcites →https://doi.org/10.1093/biomet/85.3.645openalex-snapshot

Efficient estimation of conditional variance functions in stochastic regression

inferredcites →https://doi.org/10.1093/rfs/9.2.385openalex-snapshot

Testing Continuous-Time Models of the Spot Interest Rate

inferredcites →https://doi.org/10.1111/0022-1082.00208openalex-snapshot

Is the Short Rate Drift Actually Nonlinear?

inferredcites →https://doi.org/10.1111/1467-9868.00155openalex-snapshot

Bias-corrected Confidence Bands in Nonparametric Regression

inferredcites →https://doi.org/10.1111/j.1467-9892.1980.tb00297.xopenalex-snapshot

AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

inferredcites →https://doi.org/10.1111/j.1467-9892.1983.tb00368.xopenalex-snapshot

NONPARAMETRIC ESTIMATORS FOR TIME SERIES

inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04011.xopenalex-snapshot

An Empirical Comparison of Alternative Models of the Short-Term Interest Rate

inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02748.xopenalex-snapshot

A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk

inferredcites →https://doi.org/10.1198/016214501750332811openalex-snapshot

Confidence Intervals for Nonparametric Curve Estimates

inferredcites →https://doi.org/10.1198/016214503388619157openalex-snapshot

A Reexamination of Diffusion Estimators With Applications to Financial Model Validation

inferredcites →https://doi.org/10.1214/009053606000001479openalex-snapshot

Asymptotic spectral theory for nonlinear time series

inferredcites →https://doi.org/10.1214/07-aos533openalex-snapshot

Confidence bands in nonparametric time series regression

inferredcites →https://doi.org/10.1214/08-ss034openalex-snapshot

Parametric and nonparametric models and methods in financial econometrics

inferredcites →https://doi.org/10.1214/aoms/1177704714openalex-snapshot

A Law of Large Numbers for the Maximum in a Stationary Gaussian Sequence

inferredcites →https://doi.org/10.1214/aop/1176995945openalex-snapshot

On the Maximal Deviation of $k$-Dimensional Density Estimates

inferredcites →https://doi.org/10.1214/aop/1176996452openalex-snapshot

On Tail Probabilities for Martingales

inferredcites →https://doi.org/10.1214/aos/1024691367openalex-snapshot

Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations

inferredcites →https://doi.org/10.1214/aos/1030563978openalex-snapshot

Sieve bootstrap for smoothing in nonstationary time series

inferredcites →https://doi.org/10.1214/aos/1032526953openalex-snapshot

On the asymptotic expansion of the empirical process of long-memory moving averages

inferredcites →https://doi.org/10.1214/aos/1035844982openalex-snapshot

Kernel density estimation for linear processes

inferredcites →https://doi.org/10.1214/aos/1176325631openalex-snapshot

Simultaneous Confidence Bands for Linear Regression and Smoothing

inferredcites →https://doi.org/10.1214/aos/1176342558openalex-snapshot

On Some Global Measures of the Deviations of Density Function Estimates

inferredcites →https://doi.org/10.1214/aos/1176348120openalex-snapshot

Bootstrap Simultaneous Error Bars for Nonparametric Regression

inferredcites →https://doi.org/10.2307/1911242openalex-snapshot

A Theory of the Term Structure of Interest Rates

inferredcites →https://doi.org/10.2307/2330930openalex-snapshot

The Pricing of Options on Default-Free Bonds

inferredcites →https://doi.org/10.2307/2371641openalex-snapshot

On a Family of Symmetric Bernoulli Convolutions

inferredcites →https://doi.org/10.3150/bj/1065444812openalex-snapshot

Optimal confidence bands for shape-restricted curves

inferredcites →https://doi.org/10.3150/bj/1066418879openalex-snapshot

Empirical processes of long-memory sequences

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Simultaneous Confidence Bands in Nonlinear Regression Models with Nonstationarity

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Hidden Markov Structures for Dynamic Copulae

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A Simple Adjustment for Bandwidth Snooping

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M-Dependence Approximation for Dependent Random Variables

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Empirical likelihood simultaneous confidence band for conditional variance function

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Autoregressive functions estimation in nonlinear bifurcating autoregressive models

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Nonparametric estimation of quantiles for a class of stationary processes

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A direct approach to inference in nonparametric and semiparametric quantile models

inferred← citeshttps://doi.org/10.1016/j.jeconom.2021.11.007openalex-snapshot

State-domain change point detection for nonlinear time series regression

inferred← citeshttps://doi.org/10.1016/j.jspi.2010.09.029openalex-snapshot

Berry–Esseen bounds for kernel estimates of stationaryprocesses

inferred← citeshttps://doi.org/10.1016/j.spa.2010.08.001openalex-snapshot

Kernel estimation for time series: An asymptotic theory

inferred← citeshttps://doi.org/10.1017/s0266466614000607openalex-snapshot

HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE

inferred← citeshttps://doi.org/10.1017/s0266466614000681openalex-snapshot

PARAMETRIC SPECIFICATION TEST FOR NONLINEAR AUTOREGRESSIVE MODELS

inferred← citeshttps://doi.org/10.1017/s0266466620000559openalex-snapshot

ITERATIONS OF DEPENDENT RANDOM MAPS AND EXOGENEITY IN NONLINEAR DYNAMICS

inferred← citeshttps://doi.org/10.1080/03610926.2016.1263740openalex-snapshot

On non parametric statistical inference for densities under long-range dependence

inferred← citeshttps://doi.org/10.1080/07350015.2013.801776openalex-snapshot

Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions

inferred← citeshttps://doi.org/10.1080/07474938.2014.976530openalex-snapshot

Inference of the Trend in a Partially Linear Model with Locally Stationary Regressors

inferred← citeshttps://doi.org/10.1093/jjfinec/nbu002openalex-snapshot

Uniform Confidence Bands for Pricing Kernels

inferred← citeshttps://doi.org/10.1093/restud/rdx051openalex-snapshot

A Simple Adjustment for Bandwidth Snooping

inferred← citeshttps://doi.org/10.1111/jtsa.12781openalex-snapshot

Simultaneous inference of a partially linear model in time series

inferred← citeshttps://doi.org/10.1111/obes.12329openalex-snapshot

Simultaneous Diagnostic Testing for Nonlinear Time Series Models with An Application to the U.S. Federal Fund Rate

inferred← citeshttps://doi.org/10.1214/14-aos1299openalex-snapshot

Time-varying nonlinear regression models: Nonparametric estimation and model selection

inferred← citeshttps://doi.org/10.1214/20-ejs1723openalex-snapshot

Oracally efficient estimation and simultaneous inference in partially linear single-index models for longitudinal data

inferred← citeshttps://doi.org/10.1214/23-ejs2175openalex-snapshot

Regression analysis of mixed sparse synchronous and asynchronous longitudinal covariates with varying-coefficient models

inferred← citeshttps://doi.org/10.2139/ssrn.3656321openalex-snapshot

Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function

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Les applications mobiles éducatives en apprentissage des langues : les représentations et les usages en contexte africain francophone

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Simultaneous nonparametric regression analysis of sparse longitudinal data

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Root-$n$ consistent estimation of the marginal density in semiparametric autoregressive time series models

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Adaptive deep learning for nonlinear time series models

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