Searching for authors named "Elias Masry" – sorted by Relevance.
7 documents found, showing 1 through 7.
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Multivariate Local Polynomial Regression For Time Series: Uniform Strong Consistency And Rates
- …Local high-order polynomial fitting is employed for the estimation of the multivariate regression function m (x 1 , . . . , x d ) = E [y (Y d ) | X 1 = x 1 , . . . , X d = x d ], and of its partial derivatives, for stationary random processes {Y i , X i }. The function y may be selected to yield est…
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Multivariate Regression Estimation: Local Polynomial Fitting For Time Series
- …We consider the estimation of the multivariate regression function m (x 1 , . . . , x d ) = E [y (Y d ) | X 1 = x 1 , . . . , X d = x d ], and its partial derivatives, for stationary random processes {Y i , X i } using local higher-order polynomial fitting. Particular cases of y yield estimation of…
- Cited by 10 (3 self) – Add To MetaCart
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Local Linear Regression Estimation for Time Series With Long-Range Dependence
- …Consider the nonparametric estimation of a multivariate regression function and its derivatives for a regression model with long-range dependent errors. We adopt local linear #tting approach and establish the joint asymptotic distributions for the estimators of the regression function and its deriva…
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Local Polynomial Estimation of Regression Functions for Mixing Processes
- …Local polynomial tting has many exciting statistical properties which where established under i.i.d. setting. However, the need for nonlinear time series modeling, constructing predictive intervals, understanding divergence of nonlinear time series requires the development of the theory of local pol…
- Cited by 8 (4 self) – Add To MetaCart
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Nonparametric Estimation of Additive Nonlinear ARX Time Series: Local Linear Fitting and Projections
- …We consider the estimation and identification of the components (endogenous and exogenous) of additive nonlinear ARX time series models. We employ local polynomial fitting scheme coupled with projections. We establish the weak consistency (with rates) and the asymptotic normality of the projection e…
- Cited by 2 (1 self) – Add To MetaCart
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Minimum Complexity Regression Estimation with Weakly Dependent Observations
- …Parameter Spaces and Abstract Complexities For each integer rt _> 1, let % denote a model dimension, for example, see (2), and let S, denote a compact subset of ]R The set S, will serve as a collection of parameters associated with the model dimension %, for example, see (5). For every v S,, let f(…
- Cited by 9 (1 self) – Add To MetaCart
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Memory-Universal Prediction of Stationary Random Processes
- …We consider the problem of one-step-ahead prediction of a real-valued, stationary, strongly mixing random process fX i g i=01 . The best mean-square predictor of X0 is its conditional mean given the entire infinite past fX i g i=01 . Given a sequence of observations X1 X2 111 XN, we propose estimato…
- Cited by 18 (1 self) – Add To MetaCart
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