Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval

Author:

Kim Seonjin,Zhao Zhibiao,Shao Xiaofeng

Funder

National Science Foundation (NSF)

NIDA

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference21 articles.

1. Convergence of Probability Measures. Vol. 493;Billingsley,2009

2. Local Polynomial Modelling and its Applications: Monographs on Statistics and Applied Probability 66, Vol. 66;Fan,1996

3. Nonlinear Time Series. Vol. 2;Fan,2003

4. A note on jackknifing kernel regression function estimators (corresp.);Hardle;IEEE Trans. Inform. Theory,1986

5. Nonparametric estimation of a conditional quantile for α-mixing processes;Honda;Ann. Inst. Statist. Math.,2000

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