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- W2031036493 abstract "We estimate the mean function and the conditional variance (the volatility function) of a nonlinear first-order autoregressive model nonparametrically. Minimax rates of convergence are established over a scale of Besov bodies Bspq and a range of global Lp′ error measurements, for 1⩽p′<∞. We propose an estimating procedure based on a martingale regression approximation scheme. This enables us to implement wavelet thresholding and obtain adaptation results with respect to an unknown degree of smoothness." @default.
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- W2031036493 title "On nonparametric estimation in nonlinear AR(1)-models" @default.
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- W2031036493 doi "https://doi.org/10.1016/s0167-7152(98)00289-2" @default.
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