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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…
math.ST2021
Auto-Regressive Approximations to Non-stationary Time Series, with Inference and Applications
Xiucai Ding, Zhou Zhou
Understanding the time-varying structure of complex temporal systems is one of the main challenges of modern time series analysis. In this paper, we show that every uniformly-posit…