Nonparametric Regression Estimation for Multivariate Null Recurrent Processes
نویسندگان
چکیده
منابع مشابه
Nonparametric Regression Estimation for Multivariate Null Recurrent Processes
This paper discusses nonparametric kernel regression with the regressor being a d-dimensional β-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate √ n(T )hd, where n(T ) is the number of regenerations for a β-null recurrent process and the limiting distribution (with proper normalization) is normal. ...
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ژورنال
عنوان ژورنال: Econometrics
سال: 2015
ISSN: 2225-1146
DOI: 10.3390/econometrics3020265