Uniform nonparametric inference for time series
This paper provides the first result for the uniform inference based on nonparametric series estimators in a general time-series setting. We develop a strong approximation theory for sample averages of mixingales with dimensions growing with the sample size. We use this result to justify the asympto...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2589 https://ink.library.smu.edu.sg/context/soe_research/article/3588/viewcontent/strongcombined_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |