Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains
This paper is concerned with consistent nearest neighbor time series estimation for data generated by a Harris recurrent Markov chain. The goal is to validate nearest neighbor estimation in this general time series context, using simple and weak conditions. The framework considered covers, in a unified manner, a wide variety of statistical quantities, e.g. autoregression function, conditional quantiles, conditional tail estimators and, more generally, extremum estimators. The focus is theoretical, but examples are given to highlight applications.
|Date of creation:||Jul 2007|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econ.cam.ac.uk/index.htm|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter Hall & Qiwei Yao, 2005. "Approximating conditional distribution functions using dimension reduction," LSE Research Online Documents on Economics 16333, London School of Economics and Political Science, LSE Library.
- Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March.
- Carlos Capistrán & Allan Timmermann, 2008.
"Forecast Combination With Entry and Exit of Experts,"
CREATES Research Papers
2008-55, School of Economics and Management, University of Aarhus.
- CapistrÃ¡n, Carlos & Timmermann, Allan, 2009. "Forecast Combination With Entry and Exit of Experts," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 428-440.
- Carlos Capistrán & Allan Timmermann, 2006. "Forecast Combination with Entry and Exit of Experts," Working Papers 2006-08, Banco de México.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010.
2010-04, Banco de México.
- Pagan,Adrian & Ullah,Aman, 1999.
Cambridge University Press, number 9780521586115, 1.
- Ole E. Barndorff-Nielsen & Shephard, 2002.
"Econometric analysis of realized volatility and its use in estimating stochastic volatility models,"
Journal of the Royal Statistical Society Series B,
Royal Statistical Society, vol. 64(2), pages 253-280.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
- Yakowitz, Sid, 1993. "Nearest neighbor regression estimation for null-recurrent Markov time series," Stochastic Processes and their Applications, Elsevier, vol. 48(2), pages 311-318, November.
- Doukhan, Paul & Louhichi, Sana, 1999. "A new weak dependence condition and applications to moment inequalities," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 313-342, December.
- Nze, Patrick Ango & Doukhan, Paul, 2004. "Weak Dependence: Models And Applications To Econometrics," Econometric Theory, Cambridge University Press, vol. 20(06), pages 995-1045, December.
- Joel L. Horowitz, 2003. "Bootstrap Methods for Markov Processes," Econometrica, Econometric Society, vol. 71(4), pages 1049-1082, 07.
- Masry, Elias, 2005. "Nonparametric regression estimation for dependent functional data: asymptotic normality," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 155-177, January.
- de Haan, Laurens & Resnick, Sidney I. & Rootzén, Holger & de Vries, Casper G., 1989. "Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 213-224, August.
- van Garderen, K.J., 1995.
"Curved exponential models in econometrics,"
Discussion Paper Series In Economics And Econometrics
9508, Economics Division, School of Social Sciences, University of Southampton.
- Rychlik, Tomasz, 1994. "Distributions and expectations of order statistics for possibly dependent random variables," Journal of Multivariate Analysis, Elsevier, vol. 48(1), pages 31-42, January.
When requesting a correction, please mention this item's handle: RePEc:cam:camdae:0735. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jake Dyer)
If references are entirely missing, you can add them using this form.