Identification non paramétrique d’un processus non linéaire hétéroscédastique

CHIKHI, Mohamed (2009): Identification non paramétrique d’un processus non linéaire hétéroscédastique. Published in: Revue d’Economie et de Statistiques Appliquées No. 12 (2009): pp. 9-27.

Abstract

Cet article vise à identifier un processus non linéaire par la méthode du noyau. Cette identification nécessite une sélection rigoureuse des coefficients de Markov et le choix de la fenêtre qui détermine le degré de lissage de l’estimateur.

This paper aims to identify a nonlinear process by the kernel methodology. This identification requires the selection of the Markov coefficients and the choice of bandwidth, which determines the degree of estimator’s smoothing.

• Item Type: MPRA Paper
• English Title: Nonparametric identification of heteroscedastic nonlinear process
• Language: French
• Keywords: Final Prediction Error, kernel, bandwidth, functional autoregressive process.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

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