Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1999-08-17
Number: 99-063/4
Author-Name: Jan G. de Gooijer
Author-Email: j.g.degooijer@uva.nl
Author-Workplace-Name: University of Amsterdam
Author-Name: Ali Gannoun
Author-Workplace-Name: Irčne Larramendy, Université de Montpellier II
Title: Nonparametric Regression with Serially Correlated Errors
Abstract: Motivated by the problem of setting prediction intervals in time seriesanalysis, this investigation is concerned with recovering a regression functionm(X_t) on the basis of noisy observations taking at random design pointsX_t.It is presumed that the corresponding observations are corrupted by additiveserially correlated noise and that the noise is, in fact, induced by a generallinear process. The main result of this study is that, under some reasonableconditions, the nonparametric kernel estimator of m(x)(/i) is asymptoticallynormally distributed. Using this result, we construct confidence bands form(x).Simulations will be conducted to assess the performance of these bands infinite-sample situations
File-Url: https://papers.tinbergen.nl/99063.pdf
File-Format: application/pdf
File-Size: 398336 bytes
Handle: RePEc:tin:wpaper:19990063