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Nonparametric estimation of density function for sample process under mixing condition

Li, Zhu-yu; Lu, Zu-di; Chai, Gen-xiang - 1997

Persistent link: https://www.econbiz.de/10000960033

Nonparametric specification testing for nonlinear time series with nonstationarity

Gao, Jiti; King, Maxwell L.; Lu, Zu-di; Tjøstheim, Dag - In: Econometric theory 25 (2009) 6, pp. 1869-1892

Persistent link: https://www.econbiz.de/10003904450

Local linear fitting under near epoch dependence : uniform consistency with convergence rate

Li, Degui; Lu, Zu-di; Linton, Oliver - 2010

Persistent link: https://www.econbiz.de/10008649308

A flexible semiparametric model for time series

Li, Degui; Linton, Oliver; Lu, Zu-di - 2012

We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions. The weight parameters involved in the approximation are estimated by least squares on the first-stage nonparametric kernel estimates. We establish...

Persistent link: https://www.econbiz.de/10009620324

Local linear fitting under near epoch dependence : uniform consistency with convergence rates

Li, Degui; Lu, Zu-di; Linton, Oliver - In: Econometric theory 28 (2012) 5, pp. 935-958

Persistent link: https://www.econbiz.de/10009714729

Local linear fitting under near epoch dependence : uniform consistency with convergence rates

Li, Degui; Lu, Zu-di; Linton, Oliver - 2011

Local linear fitting is a popular nonparametric method in statistical and econometric modelling. Lu and Linton (2007) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the condition of near epoch dependence. In this...