The Annals of Statistics

Regression-type inference in nonparametric autoregression

Jens-Peter Kreiss and Michael H. Neumann

Full-text: Open access

Abstract

We derive a strong approximation of a local polynomial estimator LPE in nonparametric autoregression by an (LPE) in a corresponding nonparametric regression model. This generally suggests the application of regression-typical tools for statistical inference in nonparametric autoregressive models. It provides an important simplification for the boot-strap method to be used: It is enough to mimic the structure of a nonparametric regression model rather than to imitate the more complicated process structure in the autoregressive case. As an example we consider a simple wild bootstrap, which is used for the construction of simultaneous confidence bands and nonparametric supremum-type tests.

Article information

Source
Ann. Statist., Volume 26, Number 4 (1998), 1570-1613.

Dates
First available in Project Euclid: 21 June 2002

Permanent link to this document
https://projecteuclid.org/euclid.aos/1024691254

Digital Object Identifier
doi:10.1214/aos/1024691254

Mathematical Reviews number (MathSciNet)
MR1647701

Zentralblatt MATH identifier
0935.62049

Subjects
Primary: 62G07: Density estimation 62M05: Markov processes: estimation
Secondary: 62G09: Resampling methods 62G15: Tolerance and confidence regions

Keywords
Nonparametric autoregression nonparametric regression strong approximation bootstrap wild bootstrap confidence bands

Citation

Neumann, Michael H.; Kreiss, Jens-Peter. Regression-type inference in nonparametric autoregression. Ann. Statist. 26 (1998), no. 4, 1570--1613. doi:10.1214/aos/1024691254. https://projecteuclid.org/euclid.aos/1024691254


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