Nonstationary Density Estimation and Kernel Autoregression
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References listed on IDEAS
- Jiang, George J. & Knight, John L., 1997. "A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model," Econometric Theory, Cambridge University Press, vol. 13(5), pages 615-645, October.
- Hardle, Wolfgang & Linton, Oliver, 1986.
"Applied nonparametric methods,"
Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.),Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339,
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
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- repec:cup:etheor:v:13:y:1997:i:5:p:615-45 is not listed on IDEAS
- Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.),Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339, Elsevier.
- Yacine Ait-Sahalia, 1998. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers 0222, National Bureau of Economic Research, Inc.
More about this item
KeywordsBrownian sheet; kernel regression; local time; martingale embedding; mixture normal; nonstationary density; occupation time; quadratic variation; unit root autoregression;
StatisticsAccess and download statistics
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