Nonparametric regression for locally stationary functional time series

Daisuke Kurisu

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arXiv · 2105.07613

Nonparametric regression for locally stationary functional time series

Daisuke Kurisu

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Abstract

In this study, we develop an asymptotic theory of nonparametric regression for a locally stationary functional time series. First, we introduce the notion of a locally stationary functional time series (LSFTS) that takes values in a semi-metric space. Then, we propose a nonparametric model for LSFTS with a regression function that changes smoothly over time. We establish the uniform convergence rates of a class of kernel estimators, the Nadaraya-Watson (NW) estimator of the regression function, and a central limit theorem of the NW estimator.

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Daisuke Kurisu. 2021-05-17. Nonparametric regression for locally stationary functional time series. https://arxiv.org/abs/2105.07613

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