Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our results can be viewed as a nonstationary extension of some well-known uniform consistency results for stationary time series.

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Year of publication:	2013-11-09
Authors:	Gao, Jiti ; Kanaya, Shin ; Li, Degui ; Tjøstheim, Dag
Institutions:	School of Economics and Management, University of Aarhus
Subject:	ß-null recurrence \| Harris recurrent Markov chain \| nonparametric estimation \| rate of convergence \| uniform consistency

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Notes:	4 pages long
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010851296