INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS

DOI10.1017/S0266466609990302zbMath1179.62129OpenAlexW2120022289MaRDI QIDQ3652624

Peter M. Robinson

Publication date: 15 December 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990302

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Related Items (1)

Semiparametric spatial mixed effects single index models

Cites Work

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• Nonparametric regression with long-range dependence
• Noncentral limit theorems for quadratic forms in random variables having long-range dependence
• Fixed design regression for time series: Asymptotic normality
• Large-sample inference for nonparametric regression with dependent errors
• Nonparametric regression under long-range dependent normal errors
• Robinson Cubes

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