On nonparametric ridge estimation for multivariate long-memory processes

DOI10.1007/s10986-020-09480-yzbMath1465.62097OpenAlexW3022516534MaRDI QIDQ829814

Jan Beran, Klaus Telkmann

Publication date: 6 May 2021

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-020-09480-y

zbMATH Keywords

linear processridge regressionlong-range dependencekernel density estimationmultivariate time series

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric tolerance and confidence regions (62G15) Self-similar stochastic processes (60G18) Functional limit theorems; invariance principles (60F17)

Uses Software

• KernSmooth
• longmemo

Cites Work

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