Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149511 | Journal of Statistical Planning and Inference | 2010 | 8 Pages |
Abstract
We derive an asymptotic theory of nonparametric estimation for a time series regression model Zt=f(Xt)+Wt, where {Xt} and {Zt} are observed nonstationary processes, and {Wt} is an unobserved stationary process. The class of nonstationary processes allowed for {Xt} is a subclass of the class of null recurrent Markov chains. This subclass contains the random walk, unit root processes and nonlinear processes. The process {Wt} is assumed to be linear and stationary.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Hans Arnfinn Karlsen, Terje Myklebust, Dag Tjøstheim,