Sieve Extremum Estimates for Weakly Dependent Data

• DOI: 10.2307/2998559
• Publication Date: 2006-07-05T16:08:50Z
• Authors: Xiaohong Chen; Xiaotong Shen
• Keywords: Sieve (category theory)

Many non/semi-parametric time series estimates may be regarded as different forms of sieve extremum estimates. For stationary β-mixing observations, we obtain convergence rates and root-n asymptotic normality plug-in smooth functionals. As applications to models, give for nonparametric ARX(p,q) regression via neural networks, splines, wavelets; partial linear additive AR(p) monotone transformation AR(1) models.