Uniform consistency for nonparametric estimators in null recurrent time series

Jiti Gao, Degui Li and Dag Tjøstheim

This paper establishes a suite of uniform consistency results for nonparametric kernel density and regression estimators when the time series regressors concerned are nonstationary null-recurrent Markov chains. Under suitable conditions, certain rates of convergence are also obtained for the proposed estimators. Our results can be viewed as an extension of some well-known uniform consistency results for the stationary time series case to the nonstationary time series case. null recurrent Markov chain, nonparametric estimation, rate of convergence, uniform consistency.

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Year of publication:	2011
Authors:	Gao, Jiti ; Li, Degui ; Tjostheim, Dag
Publisher:	Clayton, Vic. : Dep. of Econometrics and Business Statistics, Monash Univ.
Subject:	Zeitreihenanalyse \| Time series analysis \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Markov-Kette \| Markov chain \| Theorie \| Theory