Confidence bands in nonparametric time series regression

Zhibiao Zhao, Wei Biao Wu

Research output: Contribution to journalArticle

38 Scopus citations

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 autoregressive processes. The results are applied to the S&P 500 Index data.

Original languageEnglish (US)
Pages (from-to)1854-1878
Number of pages25
JournalAnnals of Statistics
Volume36
Issue number4
DOIs
StatePublished - Aug 1 2008

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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