We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The … macromodel. -- Factor Analysis ; Time Series ; Kernel estimation ; Nonparametric …

consideration in independent and identical parts. A tail condition on the distribution of the recurrence time is introduced. This … convergence rate is slower than in the stationary case, and it is directly linked to the tail behaviour of the recurrence time …. -- null recurrent Markov chain ; nonparametric kernel estimators ; Nonstationary time series models ; split chain …

This paper discusses a methodology which uses time series cross sectional datafor the estimation of a time dependent … observations from an adaptive running time window. The adaptation consists in the selection of the length (or horizon) of such a …

time series. It is well known that the usual nonparametric models often have less than satisfactory performance when …