Nonparametric estimation from time series residuals

Abstract

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

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LSE Research Online

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Last time updated on 10/02/2012

This paper was published in LSE Research Online.

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