On the asymptotic variance in nonparametric regression with fractional time-series errors

DOI10.1080/10485250701381737zbMath1128.62048OpenAlexW2049993661MaRDI QIDQ5434737

Yuanhua Feng

Publication date: 9 January 2008

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

Full work available at URL: https://doi.org/10.1080/10485250701381737

zbMATH Keywords

long memorybandwidth selectionantipersistence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (1)

Data-driven local polynomial for the trend and its derivatives in economic time series

Uses Software

• longmemo

Cites Work

• Nonparametric regression with long-range dependence
• Nonparametric regression analysis of longitudinal data
• Semiparametric regression under long-range dependent errors.
• Nonparametric regression with long-memory errors
• Estimation and testing in a partial linear regression model under long-memory dependence
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• Multivariate locally weighted least squares regression
• Local polynomial fitting with long-memory, short-memory and antipersistent errors
• Nonparametric regression under dependent errors with infinite variance
• A Flexible and Fast Method for Automatic Smoothing
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Bandwidth selection for kernel regression with long-range dependent errors
• Unnamed Item

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