Confidence bands in nonparametric time series regression
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The Annals of Statistics

Confidence bands in nonparametric time series regression

Zhibiao Zhao and Wei Biao Wu

Source: Ann. Statist. Volume 36, Number 4 (2008), 1854-1878.

Abstract

We consider nonparametric estimation of mean regression and conditional variance (or volatility) functions in nonlinear stochastic regression models. Simultaneous confidence bands are constructed and the coverage probabilities are shown to be asymptotically correct. The imposed dependence structure allows applications in many linear and nonlinear auto-regressive processes. The results are applied to the S&P 500 Index data.

Primary Subjects: 62G08
Secondary Subjects: 62G15
Keywords: Long-range dependence; model validation; moderate deviation; nonlinear time series; nonparametric regression; short-range dependence

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Permanent link to this document: http://projecteuclid.org/euclid.aos/1216237302
Digital Object Identifier: doi:10.1214/07-AOS533

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