Non-parametric estimation under strong dependence

DOI10.1111/JTSA.12044MaRDI QIDQ2933187zbMATH OpenOpenAlexWikidataFDO

Authors Zhibiao Zhao, Yiyun Zhang, Runze Li

Publication date 10 December 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://europepmc.org/articles/pmc4092009

zbMATH Keywords

differencinglong-range dependencenonparametric regressionshort-range dependencetime series

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• Econometric estimation in long-range dependent volatility models: theory and practice
• Fractional Brownian Motions, Fractional Noises and Applications
• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 2148833 (Why is no real title available?)
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• Local linear regression estimation for time series with long-range dependence
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• Long-Term Memory in Stock Market Prices
• M-estimators in linear models with long range dependent errors
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• Nonparametric regression with long-range dependence
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• Regression Theory for Near-Integrated Time Series
• Time series regression with long-range dependence

Cited in

(6)

• Asymptotic theory for time series with changing mean and variance
• Inference on nonstationary time series with moving mean
• Local linear regression estimation under long-range dependence: strong consistency and rates
• Adaptive nonparametric estimation in the presence of dependence
• scientific article; zbMATH DE number 962365 (Why is no real title available?)
• M-estimation in nonparametric regression under strong dependence and infinite variance

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