Nonparametric beta kernel estimator for long and short memory time series

DOI10.1002/cjs.11548zbMath1492.62141OpenAlexW3018514802MaRDI QIDQ5094349

Sébastien Bellegem, Yassir Rabhi, Taoufik Bouezmarni

Publication date: 2 August 2022

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

Full work available at URL: http://repository.essex.ac.uk/27339/1/CJS-18-0019.pdf

zbMATH Keywords

cross-validationperiodogramspectral densitylong range dependencenonparametric estimationbeta kernel smoothingshort memor

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

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