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Raymond J Carroll, Oliver Linton, Enno Mammen and Zhijie Xiao
We propose a modification of kernel time series regression estimators that improves efficiency when the innovation process is autocorrelated. The procedure is based on a pre-whitening transformation of the dependent vari...Read more...
Zongwu Cai, Jianqin Fan and Qiwei Yao
Varying-coefficient linear models arise from multivariate nonparametric regression, nonlinear time series modelling and forecasting, functional data analysis, longitudinal data analysis, and others. It has been a common ...Read more...
Oliver Linton, Enno Mammen and N Nielsen
We derive the asymptotic distribution of a new backfitting procedure for estimating the closest additive approximation to a nonparametric regression function. The procedure employs a recent projection interpretation of p...Read more...