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  • Search: subject:"martingale embedding"
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Year of publication
Subject
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Brownian sheet 1 kernel regression 1 local time 1 martingale embedding 1 mixture normal 1 nonstationary density 1 occupation time 1 quadratic variation 1 unit root autoregression 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Park, Joon Y. 1 Phillips, Peter C.B. 1
Institution
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Cowles Foundation for Research in Economics, Yale University 1
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Cowles Foundation Discussion Papers 1
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RePEc 1
Showing 1 - 1 of 1
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Nonstationary Density Estimation and Kernel Autoregression
Phillips, Peter C.B.; Park, Joon Y. - Cowles Foundation for Research in Economics, Yale University - 1998
An asymptotic theory is developed for the kernel density estimate of a random walk and the kernel regression estimator of a nonstationary first order autoregression. The kernel density estimator provides a consistent estimate of the local time spent by the random walk in the spatial vicinity of...
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