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Browsing by Author "Franke, Jürgen"
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1997-07-30BuchBootstrap of kernel smoothing in nonlinear time series Franke, Jürgen; Kreiss, Jens-Peter; Mammen, EnnoKernel 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 ...
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2014-01-31BuchNonparametric Estimates for Conditional Quantiles of Time Series Franke, Jürgen; Mwita, Peter; Wang, WeiningWe 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 ...
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2002-04-26BuchNonparametric Estimators of GARCH Processes Franke, Jürgen; Holzberger, Harriet; Müller, Marlene
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1998-07-02BuchProperties 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 ...
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2007-02-05BuchQuantile Sieve Estimates For Time Series Franke, Jürgen; Stockis, Jean-Pierre; Tadjuidje, JosephWe 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 ...