Nonparametric regression with martingale increment errors
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References listed on IDEAS
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Emmanuel Guerre, 2004.
"Design-Adaptive Pointwise Nonparametric Regression Estimation for Recurrent Markov Time Series,"
2004-22, Center for Research in Economics and Statistics.
- Guerre, 2004. "Design-Adaptive Pointwise Nonparametric Regression Estimation For Recurrent Markov Time Series," Econometrics 0411007, EconWPA.
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More about this item
KeywordsNonparametric regression; Adaptation; Kernel estimation; Lepski’s method; Self-normalized martingales; Random rates; Minimax rates; β-Mixing;
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