most citedSimultaneous Sieve Inference for Time-Inhomogeneous Nonlinear Time Series Regression

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math.ST2021★ 1 cited

Simultaneous Sieve Inference for Time-Inhomogeneous Nonlinear Time Series Regression

Xiucai Ding, Zhou Zhou

In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametri…