Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications

A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities are...

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Main Authors: WANG, Qiying, Peter C. B. PHILLIPS
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Language:English
Published: Institutional Knowledge at Singapore Management University 2011
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Online Access:https://ink.library.smu.edu.sg/soe_research/1822
https://ink.library.smu.edu.sg/context/soe_research/article/2821/viewcontent/AsymptoticTheoryZeroEnergy_2011.pdf
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spelling sg-smu-ink.soe_research-28212017-08-04T01:33:52Z Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications WANG, Qiying Peter C. B. PHILLIPS, A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities are functions of both sample size and bandwidth. An interesting outcome of the theory in nonparametric regression is that the linear term is eliminated from the asymptotic bias. In consequence and in contrast to the stationary case, the Nadaraya-Watson estimator has the same limit distribution (to the second order including bias) as the local linear nonparametric estimator. 2011-04-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1822 info:doi/10.1017/S0266466610000277 https://ink.library.smu.edu.sg/context/soe_research/article/2821/viewcontent/AsymptoticTheoryZeroEnergy_2011.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Brownian Local time Cointegration Integrated process Local time density estimation Nonlinear functionals Nonparametric regression Unit root Zero energy functional Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Brownian Local time
Cointegration
Integrated process
Local time density estimation
Nonlinear functionals
Nonparametric regression
Unit root
Zero energy functional
Econometrics
spellingShingle Brownian Local time
Cointegration
Integrated process
Local time density estimation
Nonlinear functionals
Nonparametric regression
Unit root
Zero energy functional
Econometrics
WANG, Qiying
Peter C. B. PHILLIPS,
Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications
description A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities are functions of both sample size and bandwidth. An interesting outcome of the theory in nonparametric regression is that the linear term is eliminated from the asymptotic bias. In consequence and in contrast to the stationary case, the Nadaraya-Watson estimator has the same limit distribution (to the second order including bias) as the local linear nonparametric estimator.
format text
author WANG, Qiying
Peter C. B. PHILLIPS,
author_facet WANG, Qiying
Peter C. B. PHILLIPS,
author_sort WANG, Qiying
title Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications
title_short Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications
title_full Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications
title_fullStr Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications
title_full_unstemmed Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications
title_sort asymptotic theory for zero energy functionals with nonparametric regression applications
publisher Institutional Knowledge at Singapore Management University
publishDate 2011
url https://ink.library.smu.edu.sg/soe_research/1822
https://ink.library.smu.edu.sg/context/soe_research/article/2821/viewcontent/AsymptoticTheoryZeroEnergy_2011.pdf
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