Uniform Rates for Kernel Estimators of Weakly Dependent Data

• Tác giả: Juan Carlos Escanciano
• Ngôn ngữ: eng
• Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 164505

Tóm tắt

This paper provides new uniform rate results for kernel estimators of absolutely regular stationary processes that are uniform in the bandwidth and in infinite-dimensional classes of dependent variables and regressors. Our results are useful for establishing asymptotic theory for two-step semiparametric estimators in time series models. We apply our results to obtain nonparametric estimates and their rates for Expected Shortfall processes.