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Nonparametric estimation from time series residuals

By Peter Robinson


We consider the nonparametric estimation of the distribution of innovations εt in a stationary autoregression. We obtain estimators of the kernel of the probability density of εt and its derivatives from the estimated residuals of the Yule-Walker estimator of the autoregressive coefficients

Topics: HB Economic Theory
Publisher: Centre d'études de recherche opérationnelle
Year: 1986
OAI identifier: oai:eprints.lse.ac.uk:1486
Provided by: LSE Research Online
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