Local linear regression estimation for time series with long-range dependence

DOI10.1016/S0304-4149(99)00015-0zbMath0991.62024WikidataQ127177268 ScholiaQ127177268MaRDI QIDQ1613610

Elias Masry, Jan Mielniczuk

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

long-range dependent errorslocal linear regression estimationsmoothing dichotomy

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items

Smooth Estimation of Error Distribution in Nonparametric Regression Under Long Memory, Nonparametric regression with heteroscedastic long memory errors, NON-PARAMETRIC ESTIMATION UNDER STRONG DEPENDENCE, Asymptotics of estimators for nonparametric multivariate regression models with long memory, Nonparametric quantile regression with heavy-tailed and strongly dependent errors, Nonparametric deconvolution problem for dependent sequences, Nearest neighbors estimation for long memory functional data, How the instability of ranks under long memory affects large-sample inference, Local linear estimation for regression models with locally stationary long memory errors, Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors, Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors, Nonparametric methods of inference for finite-state, inhomogeneous Markov processes, Nonparametric regression for dependent data in the errors-in-variables problem, Change-Point Estimation in Long Memory Nonparametric Models with Applications, The nonparametric estimation of long memory spatio-temporal random field models, On nonparametric prediction of linear processes, The smoothing dichotomy in nonparametric regression under long‐memory errors, Lack of fit test for long memory regression models, Wavelet regression in random design with heteroscedastic dependent errors, Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures

Cites Work

• Unnamed Item
• Unnamed Item
• Nonparametric regression estimation under mixing conditions
• On smoothed probability density estimation for stationary processes
• Nonparametric function estimation involving time series
• M-estimators in linear models with long range dependent errors
• Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes
• Variable bandwidth and local linear regression smoothers
• Random-design regression under long-range dependent errors
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Semiparametric estimation from time series with long-range dependence
• Multivariate regression estimation: Local polynomial fitting for time series
• Multivariate locally weighted least squares regression
• Density estimation under long-range dependence
• Local linear regression smoothers and their minimax efficiencies
• Design-adaptive Nonparametric Regression
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• NON‐PARAMETRIC ESTIMATION WITH STRONGLY DEPENDENT MULTIVARIATE TIME SERIES
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES