Smooth Estimation of Error Distribution in Nonparametric Regression Under Long Memory

DOI10.1007/978-3-319-51313-3_5zbMath1366.62083OpenAlexW2582496312MaRDI QIDQ5283082

Hira L. Koul, Lihong Wang

Publication date: 18 July 2017

Published in: Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-51313-3_5

zbMATH Keywords

kernel estimationuniform reduction principle

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07)

Related Items

Lack of fit test for long memory regression models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic theory for nonparametric regression with spatial data
• Goodness-of-fit testing under long memory
• Estimating the innovation distribution in nonparametric autoregression
• Asymptotic normality of regression estimators with long memory errors
• Semiparametric analysis of long-memory time series
• Large-sample inference for nonparametric regression with dependent errors
• Local linear regression estimation for time series with long-range dependence
• Nonparametric regression under long-range dependent normal errors
• Gaussian semiparametric estimation of long range dependence
• Goodness-of-fit tests for long memory moving average marginal density
• Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• Empirical process of residuals for regression models with long memory errors
• Asymptotic inference in some heteroscedastic regression models with long memory design and errors
• Consistent estimation of the memory parameter for nonlinear time series
• Kernel estimation of multivariate cumulative distribution function