Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes
This paper considers a nonstandard kernel regression for strongly mixing processes when the regressor is nonnegative. The nonparametric regression is implemented using asymmetric kernels [Gamma (Chen, 2000b), Inverse Gaussian and Reciprocal Inverse Gaussian (Scaillet, 2004) kernels] that possess some appealing properties such as lack of boundary bias and adaptability in the amount of smoothing. The paper investigates the asymptotic and finite-sample properties of the asymmetric kernel Nadaraya-Watson, local linear, and re-weighted Nadaraya-Watson estimators. Pointwise weak consistency, rates of convergence and asymptotic normality are established for each of these estimators. As an important economic application of asymmetric kernel regression estimators, we reexamine the problem of estimating scalar diffusion processes.
|Date of creation:||Jun 2008|
|Contact details of provider:|| Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033|
Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
More information through EDIRC
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.:
- Bandi, Federico M., 2002. "Short-term interest rate dynamics: a spatial approach," Journal of Financial Economics, Elsevier, vol. 65(1), pages 73-110, July.
- Hagmann, M. & Scaillet, O., 2007.
"Local multiplicative bias correction for asymmetric kernel density estimators,"
Journal of Econometrics,
Elsevier, vol. 141(1), pages 213-249, November.
- Matthias HAGMANN & Olivier SCAILLET, 2003. "Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators," FAME Research Paper Series rp91, International Center for Financial Asset Management and Engineering.
- Matthias Hagmann & Olivier Scaillet, 2004. "Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators," Royal Economic Society Annual Conference 2004 25, Royal Economic Society.
- Bruce M. Brown, 1999. "Beta-Bernstein Smoothing for Regression Curves with Compact Support," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(1), pages 47-59.
- M.C. Jones & D.A. Henderson, 2007. "Miscellanea Kernel-Type Density Estimation on the Unit Interval," Biometrika, Biometrika Trust, vol. 94(4), pages 977-984.
- Marcelo Fernandes & Paulo Monteiro, 2005. "Central limit theorem for asymmetric kernel functionals," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 425-442, September.
- Fernandes, M., 2000. "Central Limit Theorem for Asymmetric Kernel Functionals," Economics Working Papers eco2000/1, European University Institute.
- Fernandes, Marcelo & Monteiro, P. K., 2004. "Central limit theorem for asymmetric kernel functionals," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 522, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Song Chen, 2002. "Local Linear Smoothers Using Asymmetric Kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 312-323, June.
- Chen, Song Xi, 1999. "Local linear smoothers using asymmetric kernels," SFB 373 Discussion Papers 1999,100, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Peter C. B. Phillips, 2005. "Jackknifing Bond Option Prices," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 707-742.
- Yu, Jun & Phillips, Peter, 2002. "Jacknifing Bond Option Prices," Working Papers 187, Department of Economics, The University of Auckland.
- Jun Yu & Peter Phillips, 2004. "Jackknifing Bond Option Prices," Econometric Society 2004 North American Winter Meetings 115, Econometric Society.
- Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation for Research in Economics, Yale University.
- Chen, Song Xi, 1999. "Beta kernel estimators for density functions," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 131-145, August.
- Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
- Peter Hall & Rodney C. L. Wolff & Qiwei Yao, 1999. "Methods for estimating a conditional distribution function," LSE Research Online Documents on Economics 6631, London School of Economics and Political Science, LSE Library.
- Lu, Zudi & Linton, Oliver, 2007. "Local Linear Fitting Under Near Epoch Dependence," Econometric Theory, Cambridge University Press, vol. 23(01), pages 37-70, February. Full references (including those not matched with items on IDEAS)