Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors

DOI10.1016/j.jspi.2011.03.025zbMath1216.62026OpenAlexW2074157761MaRDI QIDQ546079

Jia Chen, Degui Li, Zheng Yan Lin

Publication date: 24 June 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.03.025

zbMATH Keywords

long-memory linear processesnonparametric M-estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) General nonlinear regression (62J02) Monte Carlo methods (65C05)

Related Items (5)

\(M\)-estimators for regression with changing scale ⋮ The Berry–Esseen-type bound for the G-M estimator in a nonparametric regression model with α-mixing errors ⋮ Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors ⋮ Asymptotic properties of M-estimators in linear and nonlinear multivariate regression models ⋮ Weak linear representation of M-estimaton in GLMs with dependent errors

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Noncentral limit theorems and Appell polynomials
• Nonparametric regression with long-range dependence
• Robust regression function estimation
• Asymptotic normality of regression estimators with long memory errors
• M-estimators in linear models with long range dependent errors
• Random-design regression under long-range dependent errors
• Central limit theorem for the empirical process of a linear sequence with long memory
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Asymptotic expansion of \(M\)-estimators with long-memory errors
• Large-sample inference for nonparametric regression with dependent errors
• Nonparametric M-estimation with long-memory errors
• Local M-estimator for nonparametric time series.
• Local linear regression estimation for time series with long-range dependence
• Robust nonparametric regression estimation for dependent observations
• Weak dependence beyond mixing and asymptotics for nonparametric regression
• Nonparametric regression under long-range dependent normal errors
• Long memory processes and fractional integration in econometrics
• Variable bandwidth and one-step local \(M\)-estimator
• Second-order behavior of M-estimators in linear regression with long-memory errors

This page was built for publication: Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors