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

DOI10.1016/S0304-4149(99)00015-0zbMATH Open0991.62024WikidataQ127177268 ScholiaQ127177268MaRDI QIDQ1613610FDOQ1613610

Authors: Elias Masry, Jan Mielniczuk 

Publication date: 29 August 2002

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

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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)

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Cited In (34)

• Local linear regression for data with AR errors
• Nonparametric regression under dependent errors with infinite variance
• Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures
• Non-parametric estimation under strong dependence
• Local linear estimation for regression models with locally stationary long memory errors
• Title not available (Why is that?)
• Nearest neighbors estimation for long memory functional data
• Change-Point Estimation in Long Memory Nonparametric Models with Applications
• Local linear regression estimation under long-range dependence: strong consistency and rates
• On nonparametric prediction of linear processes
• Local linear quantile estimation for nonstationary time series
• On nonparametric regression for bivariate circular long-memory time series
• Wavelet regression in random design with heteroscedastic dependent errors
• Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
• Nonparametric regression for dependent data in the errors-in-variables problem
• Optimal convergence rates in non-parametric regression with fractional time series errors
• Nonparametric methods of inference for finite-state, inhomogeneous Markov processes
• Nonparametric regression with nearly integrated regressors under long-run dependence
• Local polynomial fitting with long-memory, short-memory and antipersistent errors
• Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors
• Multiscale inference and long-run variance estimation in non-parametric regression with time series errors
• Asymptotics of estimators for nonparametric multivariate regression models with long memory
• Nonparametric quantile regression with heavy-tailed and strongly dependent errors
• Nonparametric regression with heteroscedastic long memory errors
• Weighted averages and local polynomial estimation for fractional linear ARCH processes
• On local trigonometric regression under dependence
• Lack of fit test for long memory regression models
• Nonparametric deconvolution problem for dependent sequences
• Title not available (Why is that?)
• The nonparametric estimation of long memory spatio-temporal random field models
• Smooth estimation of error distribution in nonparametric regression under long memory
• How the instability of ranks under long memory affects large-sample inference
• Title not available (Why is that?)
• The smoothing dichotomy in nonparametric regression under long‐memory errors

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