Nonparametric estimation under long memory dependence

DOI10.1080/10485250310001604668zbMath1054.62032OpenAlexW2149118818MaRDI QIDQ4470130

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Publication date: 22 June 2004

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250310001604668

zbMATH Keywords

Distribution functionLong memoryHazard rateFARIMA processesDensity functionKernel estimationFractional Brownian

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Estimation in survival analysis and censored data (62N02)

Related Items (9)

Local \(M\)-estimation for conditional variance function with dependent data ⋮ On nonparametric density estimation for multivariate linear long-memory processes ⋮ Nonparametric deconvolution problem for dependent sequences ⋮ Kernel type smoothed quantile estimation under long memory ⋮ Consistency of the regression estimator with functional data under long memory conditions ⋮ A note on quantile estimation for long-range dependent stochastic processes ⋮ Application of resampling and linear spline methods to spectral and dispersional analyses of long-memory processes ⋮ Nonparametric estimation for dependent data ⋮ Donsker results for the empirical process indexed by functions of locally bounded variation and applications to the smoothed empirical process

Uses Software

• KernSmooth
• longmemo

Cites Work

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