Model Selection for (Auto-)Regression with Dependent Data.

In this paper the authors study the problem of non parametric estimation of an unknown regression function from dependent data with sub-Gaussian errors. As a particular case, they handle the autoregressive framework.

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Year of publication:	1999
Authors:	Baraud, Y. ; Comte, F. ; Viennet, G.
Subject:	REGRESSION ANALYSIS \| ESTIMATOR \| ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	28 pages
Classification:	C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General ; C10 - Econometric and Statistical Methods: General. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671546