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.
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.:
- 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.
- 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.
- 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.
- van Garderen, Kees Jan, 1997.
"Curved Exponential Models in Econometrics,"
Cambridge University Press, vol. 13(06), pages 771-790, December.
- VAN GARDEREN, Kees Jan, "undated". "Curved exponential models in econometrics," CORE Discussion Papers RP 1316, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, January.
- Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521586115, January.
- 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.
- Carlos Capistrán & Allan Timmermann, 2008. "Forecast Combination With Entry and Exit of Experts," CREATES Research Papers 2008-55, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, Elsevier.
- Timmermann, Allan G, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- 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. Full references (including those not matched with items on IDEAS)
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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.