Cheng, B.; Tong, H. - In: Stochastic Processes and their Applications 48 (1993) 1, pp. 157-174
By relying on the theory of U-statistics of dependent data, we have given a detailed analysis of the residual sum of squares, RSS, after fitting a nonlinear autoregression using the kernel method. The asymptotic bias of the RSS as an estimator of the noise variance is evaluated up to and...