Search Results - subject:"adaptive pointwise estimation"

Adaptive pointwise estimation in time-inhomogeneous time-series models

Čížek, Pavel; Härdle, Wolfgang Karl; Spokoiny, Vladimir - 2008

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

Persistent link: https://www.econbiz.de/10010274136

Adaptive pointwise estimation in time-inhomogeneous time-series models

Cizek, Pavel; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

R I S K B E R L I N Adaptive pointwise estimation in time …-Universität zu Berlin Spandauer Straße 1, D-10178 Berlin Adaptive pointwise estimation in time-inhomogeneous time-series models P …: adaptive pointwise estimation, autoregressive models, conditional het- eroscedasticity models, local time-homogeneity ∗Dept. of …

Persistent link: https://www.econbiz.de/10005677996

Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models

Cizek, Pavel; Haerdle, W.; Spokoiny, V. - Tilburg University, Center for Economic Research - 2007

Persistent link: https://www.econbiz.de/10011091047