Local linear fitting under near epoch dependence
Local linear fitting of nonlinear processes under strong (i.e., alpha-) mixing conditions has been investigated extensively. However, it is often a difficult step to establish the strong mixing of a nonlinear process composed of several parts such as the popular combination of autoregressive moving...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Cambridge University Press
2007
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| Online Access: | http://hdl.handle.net/20.500.11937/39409 |
| _version_ | 1848755583878955008 |
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| author | Lu, Zudi Linton, O. |
| author_facet | Lu, Zudi Linton, O. |
| author_sort | Lu, Zudi |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Local linear fitting of nonlinear processes under strong (i.e., alpha-) mixing conditions has been investigated extensively. However, it is often a difficult step to establish the strong mixing of a nonlinear process composed of several parts such as the popular combination of autoregressive moving average (ARMA) and generalized autoregressive conditionally heteroskedastic (GARCH) models. In this paper we develop an asymptotic theory of local linear fitting for near epoch dependent(NED) processes. We establish the pointwise asymptotic normality of the local linear kernel estimators under some restrictions on the amount of dependence. Simulations and application examples illustrate that the proposed approach can work quite well for the medium size of economic time series. |
| first_indexed | 2025-11-14T08:58:37Z |
| format | Journal Article |
| id | curtin-20.500.11937-39409 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:58:37Z |
| publishDate | 2007 |
| publisher | Cambridge University Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-394092018-08-08T05:19:49Z Local linear fitting under near epoch dependence Lu, Zudi Linton, O. Local linear fitting of nonlinear processes under strong (i.e., alpha-) mixing conditions has been investigated extensively. However, it is often a difficult step to establish the strong mixing of a nonlinear process composed of several parts such as the popular combination of autoregressive moving average (ARMA) and generalized autoregressive conditionally heteroskedastic (GARCH) models. In this paper we develop an asymptotic theory of local linear fitting for near epoch dependent(NED) processes. We establish the pointwise asymptotic normality of the local linear kernel estimators under some restrictions on the amount of dependence. Simulations and application examples illustrate that the proposed approach can work quite well for the medium size of economic time series. 2007 Journal Article http://hdl.handle.net/20.500.11937/39409 10.1017/S0266466607070028 Cambridge University Press fulltext |
| spellingShingle | Lu, Zudi Linton, O. Local linear fitting under near epoch dependence |
| title | Local linear fitting under near epoch dependence |
| title_full | Local linear fitting under near epoch dependence |
| title_fullStr | Local linear fitting under near epoch dependence |
| title_full_unstemmed | Local linear fitting under near epoch dependence |
| title_short | Local linear fitting under near epoch dependence |
| title_sort | local linear fitting under near epoch dependence |
| url | http://hdl.handle.net/20.500.11937/39409 |