Confidence bands in nonparametric time series regression

Details Confidence bands in nonparametric time series regression Confidence bands in nonparametric time series regression

2008-08-07

arxiv.org/abs/0808.1010v1

Annals of Statistics 2008, Vol. 36, No. 4, 1854-1878

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/07-AOS533 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/07-AOS533

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.

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