Nonparametric M-estimation with long-memory errors

DOI10.1016/S0378-3758(02)00391-9MaRDI QIDQ1410279zbMATH OpenOpenAlexFDO

Authors Jan Beran, Sucharita Ghosh, Philipp Sibbertsen

Publication date 14 October 2003

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(02)00391-9, https://hdl.handle.net/2003/5041

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• Nonparametric regression with long-memory errors
• Asymptotics of M-estimators in non-linear regression with long memory designs.
• Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors
• Smooth estimation of error distribution in nonparametric regression under long memory
• Nonparametric regression with heteroscedastic long memory errors

Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotic maximal deviation of M-smoothers
• Convergence of integrated processes of arbitrary Hermite rank
• Convergence rates in density estimation for data from infinite-order moving average processes
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
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• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
• Nonparametric regression under long-range dependent normal errors
• Nonparametric trend estimation in replicated time series
• Robust nonparametric regression estimation for dependent observations
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(12)

• Nonparametric regression with long-memory errors
• Asymptotics of M-estimators in non-linear regression with long memory designs.
• Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
• Long memory versus structural breaks: an overview
• Higher-order kernel semiparametric M-estimation of long memory
• Asymptotic properties for an M-estimator of the regression function with truncation and dependent data
• Smooth estimation of error distribution in nonparametric regression under long memory
• Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors
• M-estimation in nonparametric regression under strong dependence and infinite variance
• Robust estimation in a nonlinear cointegration model
• Nonparametric regression with heteroscedastic long memory errors
• Asymptotic properties of nonparametric M-estimation for mixing functional data

Describes a project that uses

Uses Software

• longmemo

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