Nonparametric regression with martingale increment errors
نویسندگان
چکیده
منابع مشابه
Nonparametric Regression with Correlated Errors
Nonparametric regression techniques are often sensitive to the presence of correlation in the errors. The practical consequences of this sensitivity are explained, including the breakdown of several popular data-driven smoothing parameter selection methods. We review the existing literature in kernel regression, smoothing splines and wavelet regression under correlation, both for short-range an...
متن کاملEstimation in Nonparametric Regression with Nonregular Errors
For sufficiently nonregular distributions with bounded support, the extreme observations converge to the boundary points at a faster rate than the square root of the sample size. In a nonparametric regression model with such a nonregular error distribution, this fact can be used to construct an estimator for the regression function that converges at a faster rate than the Nadaraya– Watson estim...
متن کاملNonparametric Regression with Errors in Variables
The effect of errors in variables in nonparametric regression estimation is examined. To account for errors in covariates, deconvolution is involved in the construction of a new class of kernel estimators. It is shown that optima/local and global rates of convergence of these kernel estimators can be characterized by the tail behavior of the characteristic function of the error distribution. In...
متن کاملNonparametric regression with rescaled time series errors
We consider a heteroscedastic nonparametric regression model with an autoregressive error process of finite known order p. The heteroscedasticity is incorporated using a scaling function defined at uniformly spaced design points on an interval [0,1]. We provide an innovative nonparametric estimator of the variance function and establish its consistency and asymptotic normality. We also propose ...
متن کاملMeasurement Errors Regression: a Nonparametric Approach
Nonparametric regression provides a useful tool for exploring the association between the responses and covariates. In many applications, the actual values of the covariates are not known, but are measured with errors or through surrogates. In this paper, we present nonparametric regression techniques to study the association between the response and the underlying unobserved covariate. Deconvo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2011
ISSN: 0304-4149
DOI: 10.1016/j.spa.2011.08.002