Local Limit Theory and Spurious Nonparametric Regression
A local limit theorem is proved for sample covariances of nonstationary time series and integrable functions of: such time series that involve a bandwidth sequence. The resulting theory enables an asymptotic development of nonparametric regression with integrated or fractionally integrated processes...
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2009
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1815 |
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| Institution: | Singapore Management University |
| Language: | English |