Li, Degui; Phillips, Peter C.B.; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013
nonparametric sample covariances have different uniform convergence rates depending on direction, a result that differs … fundamentally from the random design and stationary cases. The uniform convergence rates derived are faster than the corresponding … rates in the stationary case and confirm the existence of uniform super-consistency. The modelling framework and convergence …