Some results on random design regression with long memory errors and predictors
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Publication:710817
DOI10.1016/J.JSPI.2010.06.030zbMATH Open1197.62037OpenAlexW2963324828MaRDI QIDQ710817FDOQ710817
Abstract: This paper studies nonparametric regression with long memory (LRD) errors and predictors. First, we formulate general conditions which guarantee the standard rate of convergence for a nonparametric kernel estimator. Second, we calculate the Mean Integrated Squared Error (MISE). In particular, we show that LRD of errors may influence MISE. On the other hand, an estimator for a shape function is typically not influenced by LRD in errors. Finally, we investigate properties of a data-driven bandwidth choice. We show that Averaged Squared Error (ASE) is a good approximation of MISE, however, this is not the case for a cross-validation criterion.
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Cited in
(10)- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- Universal weighted kernel-type estimators for some class of regression models
- Random-design regression under long-range dependent errors
- Conditional variance estimation in regression models with long memory
- The smoothing dichotomy in nonparametric regression under long‐memory errors
- Towards Insensitivity of Nadaraya--Watson Estimators to Design Correlation
- Adaptive deep learning for nonlinear time series models
- Universal kernel-type estimation of random fields
- Insensitivity of Nadaraya–Watson estimators to design correlation
- On sufficient conditions for the consistency of local linear kernel estimators
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