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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…
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…