Browsing by Author "Franke, Jürgen"

Now showing items 1-5 of 5

1997-07-30Buch

Bootstrap of kernel smoothing in nonlinear time series

Franke, Jürgen; Kreiss, Jens-Peter; Mammen, Enno

Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This ...
2014-01-31Buch

Nonparametric Estimates for Conditional Quantiles of Time Series

Franke, Jürgen; Mwita, Peter; Wang, Weining

We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated ...
2002-04-26Buch

Nonparametric Estimators of GARCH Processes

Franke, Jürgen; Holzberger, Harriet; Müller, Marlene
1998-07-02Buch

Properties of the Nonparametric Autoregressive Bootstrap

Franke, Jürgen; Kreiss, Jens-Peter; Mammen, Enno; Neumann, Michael H.

We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative ...
2007-02-05Buch

Quantile Sieve Estimates For Time Series

Franke, Jürgen; Stockis, Jean-Pierre; Tadjuidje, Joseph

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t − 1. We discuss sieve estimates which are a ...