On estimation of mean and covariance functions in repeated time series with long-memory errors

DOI10.1007/S10986-014-9224-1zbMATH Open1307.62108OpenAlexW2010516598MaRDI QIDQ2257486FDOQ2257486

Authors: Jan Beran, Haiyan Liu 

Publication date: 25 February 2015

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-014-9224-1

Recommendations

• On estimating the marginal distribution of a detrended series with long memory
• On the asymptotic normality of kernel estimators of the long run covariance of functional time series
• Regression models with correlated errors based on functional random design
• Estimation of eigenvalues, eigenvectors and scores in FDA models with dependent errors
• Long-range dependent curve time series

zbMATH Keywords

kernel estimationcovariance functionlong-range dependencefunctional limit theoremrepeated time seriesFDAhigher-order kernels

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

• Functional Data Analysis with R and MATLAB
• Title not available (Why is that?)
• Functional data analysis.
• Nonparametric functional data analysis. Theory and practice.
• Inference for functional data with applications
• Functional Data Analysis for Sparse Longitudinal Data
• Title not available (Why is that?)
• Linear processes in function spaces. Theory and applications
• Applied functional data analysis. Methods and case studies
• Title not available (Why is that?)
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Design-adaptive Nonparametric Regression
• Title not available (Why is that?)
• Nonparametric Regression Analysis of Longitudinal Data
• Nonparametric regression with long-range dependence
• Shrinkage estimation for functional principal component scores with application to the population kinetics of plasma folate
• Properties of principal component methods for functional and longitudinal data analysis
• Kernel Regression Estimation Using Repeated Measurements Data
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• Multivariate locally weighted least squares regression
• Smooth estimators of distribution and density functions
• Large sample inference for long memory processes
• Smooth optimum kernel estimators near endpoints
• The Analysis of Designed Experiments and Longitudinal Data by Using Smoothing Splines
• Long-memory processes. Probabilistic properties and statistical methods
• Quasi-likelihood Estimation in Semiparametric Models
• Title not available (Why is that?)
• Large-sample inference for nonparametric regression with dependent errors
• Functional data analysis of the dynamics of the monthly index of nondurable goods production.
• Local polynomial fitting with long-memory, short-memory and antipersistent errors
• Nonparametric regression under long-range dependent normal errors
• Title not available (Why is that?)
• Time-invariant long-range correlations in electroencephalogram dynamics
• Weighted Local Regression and Kernel Methods for Nonparametric Curve Fitting
• Bandwidth selection for kernel regression with long-range dependent errors
• Nonparametric Function Estimation for Clustered Data When the Predictor is Measured without/with Error
• Hazard Rate Estimation under Random Censoring with Varying Kernels and Bandwidths
• Title not available (Why is that?)
• Nonparametric trend estimation in replicated time series
• Smooth optimum kernel estimators of densities, regression curves and modes
• Asymptotic distributions of nonparametric regression estimators for longitudinal or functional data
• Nonparametric regression analysis of longitudinal data
• SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
• On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
• On rapid change points under long memory
• Title not available (Why is that?)

Cited In (13)

• Adaptive bandwidth selection in the long run covariance estimator of functional time series
• Estimation of eigenvalues, eigenvectors and scores in FDA models with dependent errors
• On two sample inference for eigenspaces in functional data analysis with dependent errors
• Mean and Covariance Estimation for Functional Snippets
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• One-way analysis of variance with long memory errors and its application to stock return data
• On estimation of covariance function for functional data with detection limits
• Long-range dependent curve time series
• On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• Title not available (Why is that?)
• Functional autoregressive process with seasonality
• Fast estimators for the mean function for functional data with detection limits

Uses Software

• fda (R)
• longmemo

This page was built for publication: On estimation of mean and covariance functions in repeated time series with long-memory errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2257486)