Article ID Journal Published Year Pages File Type
5097243 Journal of Econometrics 2009 9 Pages PDF
Abstract
We propose an estimator of the conditional distribution of Xt|Xt−1,Xt−2,…, and the corresponding regression function E(Xt|Xt−1,Xt−2,…), where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
, ,