Asymptotic normality of regression estimators with long memory errors
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Cites work
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- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
- Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence
- Fractional differencing
- Limit theorem for polynomials of a linear process with long-range dependence
- M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
- M-estimators in linear models with long range dependent errors
- Multiple Wiener-Ito integrals. With applications to limit theorems
- Noncentral limit theorems and Appell polynomials
- The empirical process of some long-range dependent sequences with an application to U-statistics
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(58)- Nonparametric estimation for dependent data
- Super optimal rates for nonparametric density estimation via projection estimators
- The smoothing dichotomy in nonparametric regression under long‐memory errors
- Influence of long memory on the asymptotic behaviour of functional estimators
- Berry-Esseen bounds for kernel estimates of stationary processes
- Regression model fitting with long memory errors
- On the empirical process of tempered moving averages
- scientific article; zbMATH DE number 1524394 (Why is no real title available?)
- Local asymptotic normality for regression models with long-memory disturbance
- Central limit theorem for the empirical process of a linear sequence with long memory
- Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum
- Kernel density estimation for linear processes
- Template matching with ranks
- Nonparametric estimation of conditional medians for linear and related processes
- On linear models with long memory and heavy-tailed errors
- Asymptotic properties of \(M\)-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular
- scientific article; zbMATH DE number 1944318 (Why is no real title available?)
- Nonparametric estimation under long memory dependence
- The change-point problem for dependent observations
- Marginal density estimation for linear processes with cyclical long memory
- Second-order behavior of M-estimators in linear regression with long-memory errors
- Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
- An M-estimator for the long-memory parameter
- Mildly explosive autoregression under weak and strong dependence
- Nonparametric regression for dependent data in the errors-in-variables problem
- Asymptotic expansion of \(M\)-estimators with long-memory errors
- On the integrated mean squared error of wavelet density estimation for linear processes
- REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
- Asymptotic distribution of the bias corrected least squares estimators in measurement error linear regression models under long memory
- Nonparametric density estimation for linear processes with infinite variance
- On the asymptotic mean integrated squared error of a kernel density estimator for dependent data
- Asymptotic theory for curve-crossing analysis
- Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors
- Robust estimation in parametric time series models under long- and short-range-dependent structures
- A goodness-of-fit test for marginal distribution of linear random fields with long memory
- ON M‐Estimation Under Long‐Range Dependence in Volatility
- On Koul's minimum distance estimators in the regression models with long memory moving averages.
- Asymptotics of estimators for nonparametric multivariate regression models with long memory
- Nonparametric quantile regression with heavy-tailed and strongly dependent errors
- Polynomial Trend Regression With Long‐memory Errors
- Moment estimator for an AR(1) model driven by a long memory Gaussian noise
- Goodness-of-fit testing under long memory
- Empirical process of residuals for regression models with long memory errors
- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
- Lack of fit test for long memory regression models
- Asymptotics of \(M\)-estimators in non-linear regression with long memory designs.
- Minimum distance lack-of-fit tests under long memory errors
- Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
- Asymptotics of estimates in constrained nonlinear regression with long-range dependent innova\-tions
- Stable limits of empirical processes of moving averages with infinite variance.
- 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
- Asymptotics of empirical processes of long memory moving averages with infinite variance.
- Goodness-of-fit tests for long memory moving average marginal density
- On location estimation for LARCH processes
- A note on quantile estimation for long-range dependent stochastic processes
- Smooth estimation of error distribution in nonparametric regression under long memory
- Semiparametric analysis of long-range dependence in nonlinear regression
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