Bandwidth selection for kernel regression with long-range dependent errors

DOI10.1093/BIOMET/84.4.791zbMATH Open1090.62536OpenAlexW2028057265MaRDI QIDQ4376591FDOQ4376591

Authors: Ruey S. Tsay, B. K. Ray

Publication date: 1997

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/84.4.791

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zbMATH Keywords

Kernel smoothing Long memory Plug-in method

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08)

Cited In (30)

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On estimating the marginal distribution of a detrended series with long memory
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Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
Surface estimation under local stationarity
On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
On asymptotically optimal wavelet estimation of trend functions under long-range dependence
Change-Point Estimation in Long Memory Nonparametric Models with Applications
Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
On two sample inference for eigenspaces in functional data analysis with dependent errors
SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
Asymptotic theory for regression models with fractional local to unity root errors
Computation of spatial Gini coefficients
On bandwidth choice in nonparametric regression with both short- and long-range dependent errors
Nonparametric estimation of a regression function with dependent observations
M-estimation in nonparametric regression under strong dependence and infinite variance
Estimation of semivarying coefficient time series models with ARMA errors
On continuous-time autoregressive fractionally integrated moving average processes
Model and variable selection procedures for semiparametric time series regression
On the asymptotic variance in nonparametric regression with fractional time-series errors
Testing for the expected number of exceedances in strongly dependent seasonal time series
On local slope estimation in partial linear models under Gaussian subordination
On estimation of mean and covariance functions in repeated time series with long-memory errors
Data-driven local polynomial for the trend and its derivatives in economic time series
Bootstrap testing for discontinuities under long-range dependence
An extended exponential SEMIFAR model with application in R
On rapid change points under long memory
SEMIFAR forecasts, with applications to foreign exchange rates.
Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
On parameter estimation for locally stationary long-memory processes

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