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math.ST2026
Simultaneous Inference for Nonlinear Time Series, a Sieve M-regression Approach
Tianpai Luo, Zhou Zhou
This paper studies simultaneous inference of conditional distributions in nonlinear time series from a sieve M-regression perspective. Existing literature on sieve M-regression has…
math.ST2024
On the partial autocorrelation function for locally stationary time series: characterization, estimation and inference
Xiucai Ding, Zhou Zhou
For stationary time series, it is common to use the plots of partial autocorrelation function (PACF) or PACF-based tests to explore the temporal dependence structure of such proces…