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 language||English (US)|
|Number of pages||25|
|Journal||Annals of Statistics|
|State||Published - Aug 2008|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty