Uniform Rates for Kernel Estimators of Weakly Dependent Data
Econometrics
2020-05-21 v1
Abstract
This paper provides new uniform rate results for kernel estimators of absolutely regular stationary processes that are uniform in the bandwidth and in infinite-dimensional classes of dependent variables and regressors. Our results are useful for establishing asymptotic theory for two-step semiparametric estimators in time series models. We apply our results to obtain nonparametric estimates and their rates for Expected Shortfall processes.
Keywords
Cite
@article{arxiv.2005.09951,
title = {Uniform Rates for Kernel Estimators of Weakly Dependent Data},
author = {Juan Carlos Escanciano},
journal= {arXiv preprint arXiv:2005.09951},
year = {2020}
}