Local linear regression estimation for time series with long-range dependence (Q1613610): Difference between revisions

This paper concerns nonparametric estimation of a multivariate regression function and its derivatives for a regression model with long-range dependent errors. A local linear fitting approach is adopted and the joint asymptotic distributions for the estimators of the regresssion function and its derivatives are established. The case of small and large bandwidth and the borderline between them are also examined.