University of Cambridge > Talks.cam > Statistics > Nonparametric regression for locally stationary time series

  Browse A-Z

Log in

Cambridge users (raven)details Other usersdetails No account?details

Information on

Subscribing to talksdetails Finding a talkdetails Adding a talkdetails Disseminating talksdetails Help and Documentationdetails

Nonparametric regression for locally stationary time series

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Richard Samworth.

We study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the time-varying regression function and provide asymptotic theory for our estimates. Moreover, we show that the main conditions of the theory are satisfied for a large class of nonlinear autoregressive processes with a time-varying regression function. Finally, we examine structured models where the regression function splits up into time-varying additive components. As will be seen, estimation in these models does not suffer from the curse of dimensionality.

This talk is part of the Statistics series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

Other lists

Computational and Systems Biology Qualitative Research Forum - Open meetings Place of an Intellectual

Other talks

Stereodivergent Catalysis, Strategies and Tactics Towards Secondary Metabolites as enabling tools for the Study of Natural Products Biology PROFESSIONAL REGISTRATION WORKSHOP How to Design a 21st Century Economy - with Kate Raworth Rather more than Thirty-Nine Steps: the life of John Buchan Primate tourism: opportunities and challenges How to lead a happy life in the midst of uncertainty Investigating the Functional Anatomy of Motion Processing Pathways in the Human Brain 'Politics in Uncertain Times: What will the world look like in 2050 and how do you know? Graded linearisations for linear algebraic group actions Direct measurements of dynamic granular compaction at the mesoscale using synchrotron X-ray radiography Art and Migration The statistical model of nuclear fission: from Bohr-Wheeler to heavy-ion fusion-fission reactions
 

© 2006-2024 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity