Asymptotic normality of regression estimators with long memory errors
From MaRDI portal
Publication:1129435
DOI10.1016/0167-7152(95)00188-3zbMath0903.62022MaRDI QIDQ1129435
Hira L. Koul, Donatas Surgailis, Liudas Giraitis
Publication date: 10 January 1999
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(95)00188-3
Related Items
The smoothing dichotomy in nonparametric regression under long‐memory errors, Nonparametric estimation under long memory dependence, REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS, ON M‐Estimation Under Long‐Range Dependence in Volatility, Polynomial Trend Regression With Long‐memory Errors, Second-order behavior of M-estimators in linear regression with long-memory errors, Kernel density estimation for linear processes, Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors, Marginal density estimation for linear processes with cyclical long memory, Berry-Esseen bounds for kernel estimates of stationary processes, Nonparametric density estimation for linear processes with infinite variance, Asymptotic theory for curve-crossing analysis, Nonparametric regression for dependent data in the errors-in-variables problem, Goodness-of-fit testing under long memory, Regression model fitting with long memory errors, Central limit theorem for the empirical process of a linear sequence with long memory, Asymptotic expansion of \(M\)-estimators with long-memory errors, On the asymptotic mean integrated squared error of a kernel density estimator for dependent data, Asymptotics of \(M\)-estimators in non-linear regression with long memory designs., Stable limits of empirical processes of moving averages with infinite variance., Asymptotics of estimates in constrained nonlinear regression with long-range dependent innova\-tions, Stable limits of sums of bounded functions of long memory moving averages with finite variance, Functional limit theorem for the empirical process of a class of Bernoulli shifts with long memory, Influence of long memory on the asymptotic behaviour of functional estimators, Asymptotics of empirical processes of long memory moving averages with infinite variance., The change-point problem for dependent observations, Asymptotic inference in some heteroscedastic regression models with long memory design and errors, Semiparametric analysis of long-range dependence in nonlinear regression, Super optimal rates for nonparametric density estimation via projection estimators, A note on quantile estimation for long-range dependent stochastic processes, On location estimation for LARCH processes, On Koul's minimum distance estimators in the regression models with long memory moving averages., Nonparametric estimation for dependent data, Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Noncentral limit theorems and Appell polynomials
- Limit theorem for polynomials of a linear process with long-range dependence
- The empirical process of some long-range dependent sequences with an application to U-statistics
- Multiple Wiener-Ito integrals. With applications to limit theorems
- Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence
- M-estimators in linear models with long range dependent errors
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
- Weak convergence to fractional brownian motion and to the rosenblatt process
