Artikel
Multiscale inference and long‐run variance estimation in non‐parametric regression with time series errors
We develop new multiscale methods to test qualitative hypotheses about the function m in the non-parametric regression model Yt,T=m(t/T)+ɛt with time series errors ɛt. In time series applications, m represents a non-parametric time trend. Practitioners are often interested in whether the trend m has certain shape properties. For example, they would like to know whether m is constant or whether it is increasing or decreasing in certain time intervals. Our multiscale methods enable us to test for such shape properties of the trend m. To perform the methods, we require an estimator of the long-run error variance σ2=Σl=−∞∞cov(ε0,εl). We propose a new difference-based estimator of σ2 for the case that {ɛt} belongs to the class of auto-regressive AR(∞) processes. In the technical part of the paper, we derive asymptotic theory for the proposed multiscale test and the estimator of the long-run error variance. The theory is complemented by a simulation study and an empirical application to climate data.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of the Royal Statistical Society: Series B (Statistical Methodology) ; ISSN: 1467-9868 ; Volume: 82 ; Year: 2019 ; Issue: 1 ; Pages: 5-37 ; Hoboken, NJ: Wiley
- Thema
-
Anticoncentration bounds
Long‐run variance
Multiscale statistics
Non‐parametric regression
Shape constraints
Strong approximations
Time series errors
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Khismatullina, Marina
Vogt, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Wiley
- (wo)
-
Hoboken, NJ
- (wann)
-
2019
- DOI
-
doi:10.1111/rssb.12347
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Khismatullina, Marina
- Vogt, Michael
- Wiley
Entstanden
- 2019
Ähnliche Objekte (12)
Nonparametric variance estimation
new test for the parametric form of the variance function in nonparametric regression
Long range dependence and non-parametric statistical inference for infinite-variance random functions
A simple test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A new test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
Nonparametric and semi-parametric evidence on the long-run effects of inflation on growth
Nonparametric and semi-parametric evidence on the long-run effects of inflation on growth
On non-parametric fatigue optimization
Confidence regions, non-parametric regression
Nonparametric variance estimation
new test for the parametric form of the variance function in nonparametric regression
Long range dependence and non-parametric statistical inference for infinite-variance random functions
A simple test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A new test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
Nonparametric and semi-parametric evidence on the long-run effects of inflation on growth
Nonparametric and semi-parametric evidence on the long-run effects of inflation on growth
On non-parametric fatigue optimization
Confidence regions, non-parametric regression
Nonparametric variance estimation
new test for the parametric form of the variance function in nonparametric regression
Long range dependence and non-parametric statistical inference for infinite-variance random functions
A simple test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A new test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
Nonparametric and semi-parametric evidence on the long-run effects of inflation on growth
Nonparametric and semi-parametric evidence on the long-run effects of inflation on growth
On non-parametric fatigue optimization