Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
journal contributionposted on 2022-11-04, 03:50 authored by Jiti Gao, Degui Li, Dag Tjøstheim
This paper establishes a suite of uniform consistency results for nonparametric kernel density and regression estimators when the time series regressors concerned are nonstationary null-recurrent Markov chains. Under suitable conditions, certain rates of convergence are also obtained for the proposed estimators. Our results can be viewed as an extension of some well-known uniform consistency results for the stationary time series case to the nonstationary time series case.