Nonparametric regression with rescaled time series errors
研究带有限阶自回归误差的异方差非参数回归模型，提出方差函数和自回归系数的非参数与半参数估计量，证明其一致性和渐近正态性，并通过模拟验证有限样本表现。
We consider a heteroscedastic nonparametric regression model with an autoregressive error process of finite known order p. The heteroscedasticity is incorporated using a scaling function defined at uniformly spaced design points on an interval [0,1]. We provide an innovative nonparametric estimator of the variance function and establish its consistency and asymptotic normality. We also propose a semiparametric estimator for the vector of autoregressive error process coefficients that is consistent and asymptotically normal for a sample size T. Explicit asymptotic variance covariance matrix is obtained as well. Finally, the finite sample performance of the proposed method is tested in simulations.