Establishes a uniform Bahadur representation for sieve M-estimators under temporal dependence and constructs valid simultaneous confidence regions using Gaussian approximation and self-convolved bootstrap.
arXiv preprint arXiv:2107.07257 , year=
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Simultaneous Inference for Nonlinear Time Series, a Sieve M-regression Approach
Establishes a uniform Bahadur representation for sieve M-estimators under temporal dependence and constructs valid simultaneous confidence regions using Gaussian approximation and self-convolved bootstrap.