Conditional variance estimation in regression models with long memory
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Central limit and other weak theorems (60F05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Recommendations
- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- Nonparametric regression with long-memory errors
- Nonparametric regression with heteroscedastic long memory errors
- Nonparametric estimation of the conditional variance function with correlated errors
- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
Cites work
- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
- Confidence bands in nonparametric time series regression
- Density estimation under long-range dependence
- Effect of mean on variance function estimation in nonparametric regression
- Efficient estimation of conditional variance functions in stochastic regression
- scientific article; zbMATH DE number 2148833 (Why is no real title available?)
- Kernel density estimation for linear processes
- Noncentral limit theorems and Appell polynomials
- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- Resampling methods for dependent data
- Some results on random design regression with long memory errors and predictors
- The Invariance Principle for Stationary Processes
Cited in
(10)- Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Two estimators of the long-run variance: beyond short memory
- Nonparametric estimation of the conditional variance function with correlated errors
- REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- On the asymptotic variance in nonparametric regression with fractional time-series errors
- Detecting long-range dependence for time-varying linear models
- Difference-based covariance matrix estimation in time series nonparametric regression with application to specification tests
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