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

DOI10.1111/J.1467-9892.2012.00811.XzbMATH Open1274.62280OpenAlexW2147688554MaRDI QIDQ2852479FDOQ2852479

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

Recommendations

• Nonparametric time series regression
• Local linear regression estimation for time series with long-range dependence
• Nonparametric regression with long-range dependence
• Optimal and superoptimal convergence rate of the local linear estimator of nonparametric regression function in continuous time
• On the asymptotic variance in nonparametric regression with fractional time-series errors

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)

Cites Work

• Title not available (Why is that?)
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Optimal rates of convergence for nonparametric estimators
• Consistent nonparametric regression. Discussion
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Nonparametric regression with long-range dependence
• Optimal global rates of convergence for nonparametric regression
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• Local polynomial fitting with long-memory, short-memory and antipersistent errors
• Nonparametric regression under long-range dependent normal errors
• Regression Smoothing Parameters That Are Not Far From Their Optimum
• On the Best Obtainable Asymptotic Rates of Convergence in Estimation of a Density Function at a Point
• Local polynomial estimation with a FARIMA-GARCH error process
• Inverse Autocorrelations
• On the minimax optimality of block thresholded wavelet estimators with long memory data
• Density estimation under long-range dependence
• On Convergence Rates in Nonparametric Problems
• Convergence rates in density estimation for data from infinite-order moving average processes
• On continuous-time autoregressive fractionally integrated moving average processes
• The Inverse Autocorrelations of a Time Series and Their Applications
• An approximate inverse for the covariance matrix of moving average and autoregressive processes
• Modelling financial time series with SEMIFAR GARCH model

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

Uses Software

• longmemo

This page was built for publication: Optimal convergence rates in non-parametric regression with fractional time series errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2852479)