摘要翻译:
本文对绝对正则平稳过程的核估计给出了新的一致率结果,这些估计在带宽上是一致的,在无穷维因变量和回归子类中是一致的。我们的结果对于建立时间序列模型中两步半参数估计的渐近理论是有用的。我们应用我们的结果得到了期望短缺过程的非参数估计及其速率。
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英文标题:
《Uniform Rates for Kernel Estimators of Weakly Dependent Data》
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作者:
Juan Carlos Escanciano
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最新提交年份:
2020
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分类信息:
一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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英文摘要:
This paper provides new uniform rate results for kernel estimators of absolutely regular stationary processes that are uniform in the bandwidth and in infinite-dimensional classes of dependent variables and regressors. Our results are useful for establishing asymptotic theory for two-step semiparametric estimators in time series models. We apply our results to obtain nonparametric estimates and their rates for Expected Shortfall processes.
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PDF链接:
https://arxiv.org/pdf/2005.09951