Confidence bands in nonparametric time series regression

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We consider nonparametric estimation of mean regression and conditional variance (or volatility) functions in nonlinear stochastic regression models. Simultaneous confidence bands are constructed and the coverage probabilities are shown to be asymptotically correct. The imposed dependence structure allows applications in many linear and nonlinear auto-regressive processes. The results are applied to the S&P 500 Index data.
Published in at http://dx.doi.org/10.1214/07-AOS533 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Statistics Theory, 62G08 (Primary) 62G15 (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/166610

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0808.1010
 http://arxiv.org/abs/0808.1010
 Annals of Statistics 2008, Vol. 36, No. 4, 1854-1878
 doi:10.1214/07-AOS533

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