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A MARKOVIAN LOCAL RESAMPLING SCHEME FOR NONPARAMETRIC ESTIMATORS IN TIME SERIES ANALYSIS

Published online by Cambridge University Press:  27 July 2001

Efstathios Paparoditis  and
Dimitris N. Politis
Efstathios Paparoditis
Affiliation:
University of Cyprus
Dimitris N. Politis
Affiliation:
University of California, San Diego
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Abstract

In this paper we study the properties of a pth-order Markovian local resampling procedure in approximating the distribution of nonparametric (kernel) estimators of the conditional expectation m(x;φ). Under certain regularity conditions, asymptotic validity of the proposed resampling scheme is established for a class of stochastic processes that is broader than the class of stationary Markov processes. Some simulations illustrate the finite sample performance of the proposed resampling procedure.

Type
Research Article
Information
Econometric Theory , Volume 17 , Issue 3 , June 2001 , pp. 540 - 566
Copyright
© 2001 Cambridge University Press

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