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

Authors
Disciplines
  • Mathematics

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; ). 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.

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