Time Series Regression in Aquaculture

Regression Quantiles for Time Series

In this article we study nonparametric estimation of regression quantiles by inverting a weighted Nadaraya-Watson estimator (WNW) of conditional distribution function, which was rst used by Hall, Woll and Yao (1999). First, under some regularity conditions, we establish the asymptotic normality and weak consistency of the WNW conditional distribution estimator for-mixing time series at both bou...

Confidence Bands in Nonparametric Time Series Regression

We consider nonparametric estimation of mean regression and conditional variance (or volatility) functions in nonlinear stochastic regression models. Simultaneous confidence bands are constructed and the coverage probabilities are shown to be asymptotically correct. The imposed dependence structure allows applications in many linear and nonlinear auto-regressive processes. The results are appli...

Predictions in Time Series Using Regression Models

Adaptive estimation in time series regression models

This work develops adaptive estimators for a linear regression model with serially correlated errors. We show that these results continue to hold when the order of the ARMA process characterizing the errors is unknown. The finite sample results are promising, indicating that substantial efficiency gains may be possible for samples as small as 50 observations. We use these estimators to investig...

Variance Estimation in Time Series Regression Models