Regression-type inference in nonparametric autoregression
نویسندگان
چکیده
منابع مشابه
Regression-type Inference in Nonparametric Autoregression
1 1 1. Introduction Autoregressive models form an important class of processes in time series analysis. A nonparametric version of these models was introduced by Jones (1978). To allow for heteroscedastic modelling of the innovations, people often consider the model where the " t are assumed to be i.i.d. with mean 0 and variance 1. Several authors dealt with the interesting statistical problem ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1998
ISSN: 0090-5364
DOI: 10.1214/aos/1024691254