Smooth estimation of error distribution in nonparametric regression under long memory

DOI10.1007/978-3-319-51313-3_5MaRDI QIDQ5283082zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

kernel estimationuniform reduction principle

Mathematics Subject Classification ID

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

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• Nonparametric regression with long-memory errors
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Cites work

• scientific article; zbMATH DE number 635768 (Why is no real title available?)
• scientific article; zbMATH DE number 1944032 (Why is no real title available?)
• scientific article; zbMATH DE number 1881986 (Why is no real title available?)
• Asymptotic inference in some heteroscedastic regression models with long memory design and errors
• Asymptotic normality of regression estimators with long memory errors
• Asymptotic theory for nonparametric regression with spatial data
• Consistent estimation of the memory parameter for nonlinear time series
• Empirical process of residuals for regression models with long memory errors
• Estimating the innovation distribution in nonparametric autoregression
• Gaussian semiparametric estimation of long range dependence
• Goodness-of-fit testing under long memory
• Goodness-of-fit tests for long memory moving average marginal density
• Kernel estimation of multivariate cumulative distribution function
• Large sample inference for long memory processes
• Large-sample inference for nonparametric regression with dependent errors
• Local linear regression estimation for time series with long-range dependence
• Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
• Nonparametric regression under long-range dependent normal errors
• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• Semiparametric analysis of long-memory time series

Cited in

(4)

• 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
• Nonparametric regression with heteroscedastic long memory errors

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