M-estimation in nonparametric regression under strong dependence and infinite variance

DOI10.1007/s10463-007-0142-4zbMath1332.62129OpenAlexW2100937434MaRDI QIDQ730760

Ngai Hang Chan, Rong Mao Zhang

Publication date: 30 September 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-007-0142-4

zbMATH Keywords

long-range dependencenonparametric regressionM-estimationstable distributionheavy-tailed

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

Related Items (2)

Nonparametric quantile regression with heavy-tailed and strongly dependent errors ⋮ Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures

Uses Software

• longmemo

Cites Work

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