Nonparametric regression with long-memory errors

DOI10.1016/S0167-7152(96)00114-9zbMath0902.62049OpenAlexW1994490688MaRDI QIDQ1380570

Rohit S. Deo

Publication date: 1 July 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00114-9

zbMATH Keywords

kernel estimatorslong memorynonparametric regression

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items (6)

Minimax estimation of linear functionals under squared error loss ⋮ Asymptotic theory for regression models with fractional local to unity root errors ⋮ On the asymptotic variance in nonparametric regression with fractional time-series errors ⋮ Prediction and nonparametric estimation for time series with heavy tails ⋮ INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN ⋮ The smoothing dichotomy in nonparametric regression under long‐memory errors

Cites Work

• Nonparametric regression with long-range dependence
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• On estimation of a regression model with long-memory stationary errors
• Distant long-range dependent sums and regression estimation
• Nonparametric regression under long-range dependent normal errors
• Efficient location and regression estimation for long range dependent regression models
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Asymptotic theory for certain regression models with long memory errors
• Adaptive Bandwidth Choice for Kernel Regression
• Fractional Brownian Motions, Fractional Noises and Applications
• The Invariance Principle for Stationary Processes
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