Application of a local linear autoregressive model to BOD time series

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Nonparametric estimation of conditional VaR and expected shortfall (2008, methodology): “Because the WNW estimate is a linear smoother (see (5)), we recommend using the optimal bandwidth selector, the so-called nonparametric AIC proposed by Cai and Tiwari (2000), to select the bandwidth, called h̃.”
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models (2008, background): “ Cai and Tiwari (2000) , and Cai (2002b) for a cogent discussion for nonparametric regression”
Trending time-varying coefficient time series models with serially correlated errors (2007, methodology): “Note that model (1) was first introduced by Robinson (1989) for an economic motivation and it is closely related to the functional-coefficient time series regression models studied by Chen and Tsay (1993), Cai et al. (2000), Cai and Tiwari (2000) , and Kim (2001).”