Confidence bands in nonparametric time series regression

Autor:	Zhao, Zhibiao, Wu, Wei Biao
Rok vydání:	2008
Předmět:	Mathematics - Statistics Theory 62G08 (Primary) 62G15 (Secondary)
Zdroj:	Annals of Statistics 2008, Vol. 36, No. 4, 1854-1878
Druh dokumentu:	Working Paper
DOI:	10.1214/07-AOS533
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. Comment: 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:	arXiv
Externí odkaz:	http://arxiv.org/abs/0808.1010 Zobrazit plný text záznamu View this record from Arxiv