Uniform Rates for Kernel Estimators of Weakly Dependent Data

2020/05/20 by Juan Carlos Escanciano, Escanciano, Juan Carlos
Economics, Econometrics and Finance · Mathematics · #Econometrics (econ.EM) #FOS: Economics and business #Financial Risk and Volatility Modeling #Statistical Methods and Inference #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2005.09951

openalex publication_date 2020/05/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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