Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications

• Main Authors: WANG, Qiying, Peter C. B. PHILLIPS
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: Brownian Local time; Cointegration; Integrated process; Local time density estimation; Nonlinear functionals; Nonparametric regression; Unit root; Zero energy functional; Econometrics
• 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
• Institution: Singapore Management University

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...