Local linear regression estimation for time series with long-range dependence (Q1613610)
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scientific article; zbMATH DE number 1792517
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| English | Local linear regression estimation for time series with long-range dependence |
scientific article; zbMATH DE number 1792517 |
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Local linear regression estimation for time series with long-range dependence (English)
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29 August 2002
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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.
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local linear regression estimation
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long-range dependent errors
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smoothing dichotomy
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0.9184665083885192
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0.8905760645866394
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0.8433498740196228
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0.8397736549377441
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