Nonparametric estimation under long memory dependence

DOI10.1080/10485250310001604668zbMATH Open1054.62032OpenAlexW2149118818MaRDI QIDQ4470130FDOQ4470130

Authors:

Publication date: 22 June 2004

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250310001604668

Recommendations

• scientific article; zbMATH DE number 1944315
• A note on quantile estimation for long-range dependent stochastic processes
• On nonparametric density estimation for multivariate linear long-memory processes
• Influence of long memory on the asymptotic behaviour of functional estimators
• Nonparametric density estimation for a long-range dependent linear process

zbMATH Keywords

Hazard rateFARIMA processesDensity functionLong memoryKernel estimationDistribution functionFractional Brownian

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in survival analysis and censored data (62N02)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Nonparametric regression with long-range dependence
• Nonparametric curve estimation from time series
• Smooth estimators of distribution and density functions
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Random approximations to some measures of accuracy in nonparametric curve estimation
• Asymptotic normality of the kernel estimate of a probability density function under association
• Quadratic errors for nonparametric estimates under dependence
• Large-sample inference for nonparametric regression with dependent errors
• Nonparametric regression under long-range dependent normal errors
• NON‐PARAMETRIC ESTIMATION WITH STRONGLY DEPENDENT MULTIVARIATE TIME SERIES
• Efficient Estimation of a Distribution Function under Quadrant Dependence
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Nonparametric Estimation for a Scale-Change with Censored Observations
• Asymptotic normality of regression estimators with long memory errors
• On bandwidth choice in nonparametric regression with both short- and long-range dependent errors
• On the asymptotic mean integrated squared error of a kernel density estimator for dependent data
• Convergence rates in density estimation for data from infinite-order moving average processes
• On central and non-central limit theorems in density estimation for sequences of long-range dependence
• Convergence rate for cross-validatory bandwidth in kernel hazard estimation from dependent samples
• Joint asymptotic normality of kernel estimates under dependence conditions, with application to hazard rate
• On the strong uniform consistency of density estimation for strongly dependent sequences
• On convergence rates for quadratic errors in kernel hazard estimation

Cited In (17)

• Non-parametric estimation under strong dependence
• Influence of long memory on the asymptotic behaviour of functional estimators
• Nonparametric estimation of the conditional median function for long-range dependent processes
• On nonparametric ridge estimation for multivariate long-memory processes
• On nonparametric density estimation for multivariate linear long-memory processes
• Donsker results for the empirical process indexed by functions of locally bounded variation and applications to the smoothed empirical process
• On nonparametric prediction of linear processes
• Consistency of the regression estimator with functional data under long memory conditions
• Local \(M\)-estimation for conditional variance function with dependent data
• Title not available (Why is that?)
• Kernel type smoothed quantile estimation under long memory
• Application of resampling and linear spline methods to spectral and dispersional analyses of long-memory processes
• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
• Nonparametric beta kernel estimator for long and short memory time series
• Nonparametric deconvolution problem for dependent sequences
• A note on quantile estimation for long-range dependent stochastic processes
• Nonparametric estimation for dependent data

Uses Software

• KernSmooth
• longmemo

This page was built for publication: Nonparametric estimation under long memory dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4470130)