Nonstationary Density Estimation and Kernel Autoregression
Year of publication: |
1998-06
|
---|---|
Authors: | Phillips, Peter C.B. ; Park, Joon Y. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Brownian sheet | kernel regression | local time | martingale embedding | mixture normal | nonstationary density | occupation time | quadratic variation | unit root autoregression |
-
Density of Skew Brownian motion and its functionals with application in finance
Gairat, Alexander, (2017)
-
Approximations of non-smooth integral type functionals of one dimensional diffusion processes
Kohatsu-Higa, A., (2014)
-
Asymptotics for Nonlinear Transformations of Integrated Time Series
Phillips, Peter C.B., (1998)
- More ...
-
Statistical Inference in Regressions with Integrated Processes: Part 1
Phillips, Peter C.B., (1986)
-
Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
Phillips, Peter C.B., (1986)
-
Statistical Inference in Regressions with Integrated Processes: Part 2
Phillips, Peter C.B., (1986)
- More ...