Asymptotic theory for regression models with fractional local to unity root errors

DOI10.1007/s00184-021-00812-7zbMath1475.62236arXiv2002.09753OpenAlexW3135463644MaRDI QIDQ2230667

Farzad Sabzikar, Kris De Brabanter

Publication date: 28 September 2021

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.09753

zbMATH Keywords

nonparametric regressiontempered fractional calculuspiecewise polynomial regressionsemi-long range dependencetempered linear processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• artfima

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