Confidence bands in nonparametric time series regression
| Autor: | Zhibiao Zhao, Wei Biao Wu |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2008 |
| Předmět: |
Statistics and Probability
model validation Statistics::Theory nonlinear time series Mathematics - Statistics Theory Statistics Theory (math.ST) Statistics::Machine Learning Long-range dependence 62G08 Statistics FOS: Mathematics Statistics::Methodology Variance function Mathematics Nonparametric statistics Regression analysis moderate deviation Conditional probability distribution Nonparametric regression short-range dependence 62G08 (Primary) 62G15 (Secondary) nonparametric regression 62G15 Statistics Probability and Uncertainty Conditional variance Nonlinear regression Confidence and prediction bands |
| Zdroj: | Ann. Statist. 36, no. 4 (2008), 1854-1878 |
| Popis: | We consider nonparametric estimation of mean regression and conditional variance (or volatility) functions in nonlinear stochastic regression models. Simultaneous confidence bands are constructed and the coverage probabilities are shown to be asymptotically correct. The imposed dependence structure allows applications in many linear and nonlinear auto-regressive processes. The results are applied to the S&P 500 Index data. Published in at http://dx.doi.org/10.1214/07-AOS533 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org) |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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