Optimal convergence rates in non-parametric regression with fractional time series errors

DOI10.1111/J.1467-9892.2012.00811.XMaRDI QIDQ2852479zbMATH OpenOpenAlexFDO

Authors Yuanhua Feng, Jan Beran

Publication date 9 October 2013

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2012.00811.x

zbMATH Keywords

nonparametric regressionlong memoryoptimal rate of convergenceantipersistence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
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• Fractional differencing
• Inverse Autocorrelations
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• Modelling financial time series with SEMIFAR GARCH model
• Nonparametric regression under long-range dependent normal errors
• Nonparametric regression with long-range dependence
• On Convergence Rates in Nonparametric Problems
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• On the Best Obtainable Asymptotic Rates of Convergence in Estimation of a Density Function at a Point
• On the minimax optimality of block thresholded wavelet estimators with long memory data
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• Optimal rates of convergence for nonparametric estimators
• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• Regression Smoothing Parameters That Are Not Far From Their Optimum
• Robust Locally Weighted Regression and Smoothing Scatterplots
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• The Inverse Autocorrelations of a Time Series and Their Applications

Cited in

(3)

• INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS
• Asymptotic theory for regression models with fractional local to unity root errors
• Data-driven local polynomial for the trend and its derivatives in economic time series

Describes a project that uses

Uses Software

• longmemo

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