Local linear regression estimation for time series with long-range dependence

DOI10.1016/S0304-4149(99)00015-0MaRDI QIDQ1613610zbMATH OpenWikidataFDO

Authors Elias Masry, Jan Mielniczuk

Publication date 29 August 2002

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

local linear regression estimationlong-range dependent errorssmoothing dichotomy

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Local linear regression estimation under long-range dependence: strong consistency and rates
• Local linear estimation for regression models with locally stationary long memory errors
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
• Nonparametric regression with long-memory errors
• Asymptotics of estimators for nonparametric multivariate regression models with long memory

Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Convergence of integrated processes of arbitrary Hermite rank
• Density estimation under long-range dependence
• Design-adaptive Nonparametric Regression
• Local linear regression smoothers and their minimax efficiencies
• M-estimators in linear models with long range dependent errors
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Multivariate locally weighted least squares regression
• Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes
• Multivariate regression estimation: Local polynomial fitting for time series
• NON‐PARAMETRIC ESTIMATION WITH STRONGLY DEPENDENT MULTIVARIATE TIME SERIES
• Non-central limit theorems for non-linear functional of Gaussian fields
• Nonparametric function estimation involving time series
• Nonparametric regression estimation under mixing conditions
• On smoothed probability density estimation for stationary processes
• Random-design regression under long-range dependent errors
• Semiparametric estimation from time series with long-range dependence
• Variable bandwidth and local linear regression smoothers

Cited in

(34)

• Local linear quantile estimation for nonstationary time series
• Local linear regression for data with AR errors
• Multiscale inference and long-run variance estimation in non-parametric regression with time series errors
• On nonparametric regression for bivariate circular long-memory time series
• Local linear regression estimation under long-range dependence: strong consistency and rates
• Nonparametric regression under dependent errors with infinite variance
• Wavelet regression in random design with heteroscedastic dependent errors
• Lack of fit test for long memory regression models
• Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures
• Nonparametric methods of inference for finite-state, inhomogeneous Markov processes
• Smooth estimation of error distribution in nonparametric regression under long memory
• Non-parametric estimation under strong dependence
• The smoothing dichotomy in nonparametric regression under long‐memory errors
• The nonparametric estimation of long memory spatio-temporal random field models
• How the instability of ranks under long memory affects large-sample inference
• scientific article; zbMATH DE number 2076276 (Why is no real title available?)
• Nearest neighbors estimation for long memory functional data
• Asymptotics of estimators for nonparametric multivariate regression models with long memory
• Local polynomial fitting with long-memory, short-memory and antipersistent errors
• scientific article; zbMATH DE number 5629280 (Why is no real title available?)
• Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors
• scientific article; zbMATH DE number 2172873 (Why is no real title available?)
• Nonparametric regression with heteroscedastic long memory errors
• Nonparametric quantile regression with heavy-tailed and strongly dependent errors
• Local linear estimation for regression models with locally stationary long memory errors
• Weighted averages and local polynomial estimation for fractional linear ARCH processes
• Nonparametric deconvolution problem for dependent sequences
• On nonparametric prediction of linear processes
• Optimal convergence rates in non-parametric regression with fractional time series errors
• Change-Point Estimation in Long Memory Nonparametric Models with Applications
• Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
• Nonparametric regression for dependent data in the errors-in-variables problem
• Nonparametric regression with nearly integrated regressors under long-run dependence
• On local trigonometric regression under dependence

This page was built for publication: Local linear regression estimation for time series with long-range dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1613610)