Smooth estimation of error distribution in nonparametric regression under long memory

DOI10.1007/978-3-319-51313-3_5zbMATH Open1366.62083OpenAlexW2582496312MaRDI QIDQ5283082FDOQ5283082

Authors: Hira L. Koul, Lihong Wang 

Publication date: 18 July 2017

Published in: Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-51313-3_5

Recommendations

• Nonparametric regression with long-memory errors
• Nonparametric regression with heteroscedastic long memory errors
• Nonparametric M-estimation with long-memory errors
• Asymptotics of estimators for nonparametric multivariate regression models with long memory
• Local linear estimation for regression models with locally stationary long memory errors

zbMATH Keywords

kernel estimationuniform reduction principle

Mathematics Subject Classification ID

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

Cites Work

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• Semiparametric analysis of long-memory time series
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• Kernel estimation of multivariate cumulative distribution function
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• Large-sample inference for nonparametric regression with dependent errors
• Nonparametric regression under long-range dependent normal errors
• Asymptotic theory for nonparametric regression with spatial data
• Consistent estimation of the memory parameter for nonlinear time series
• Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
• Asymptotic inference in some heteroscedastic regression models with long memory design and errors
• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• Asymptotic normality of regression estimators with long memory errors
• Local linear regression estimation for time series with long-range dependence
• Estimating the innovation distribution in nonparametric autoregression
• Title not available (Why is that?)
• Goodness-of-fit tests for long memory moving average marginal density
• Goodness-of-fit testing under long memory
• Empirical process of residuals for regression models with long memory errors

Cited In (4)

• Nonparametric regression with heteroscedastic long memory errors
• Lack of fit test for long memory regression models
• Nonparametric M-estimation with long-memory errors
• The smoothing dichotomy in nonparametric regression under long‐memory errors

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