Asymptotic inference in some heteroscedastic regression models with long memory design and errors

DOI10.1214/009053607000000686zbMath1132.62066arXiv0803.2121OpenAlexW2141676311MaRDI QIDQ2477069

Hira L. Koul, Hongwen Guo

Publication date: 12 March 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.2121

zbMATH Keywords

model diagnosticsOLSmoving average errorslocal whittle estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

Related Items (12)

Smooth Estimation of Error Distribution in Nonparametric Regression Under Long Memory ⋮ Conditional variance estimation in regression models with long memory ⋮ Comparing two nonparametric regression curves in the presence of long memory in covariates and errors ⋮ Wavelet deconvolution in a periodic setting with long-range dependent errors ⋮ Accounting for uncertainty in heteroscedasticity in nonlinear regression ⋮ Long-range dependent time series specification ⋮ Kink estimation in stochastic regression with dependent errors and predictors ⋮ Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors ⋮ Asymptotic behaviour of the LS estimator in a nonlinear model with long memory ⋮ Minimum distance lack-of-fit tests under long memory errors ⋮ Lack of fit test for long memory regression models ⋮ Wavelet regression in random design with heteroscedastic dependent errors

Uses Software

• longmemo

Cites Work

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