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 Open1197.62037arXiv1102.4372OpenAlexW2963324828MaRDI QIDQ710817FDOQ710817
Authors: Rafał Kulik, Paweł Lorek 
Publication date: 22 October 2010
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1102.4372
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Cited In (10)
- Conditional variance estimation in regression models with long memory
- Insensitivity of Nadaraya–Watson estimators to design correlation
- Universal weighted kernel-type estimators for some class of regression models
- Random-design regression under long-range dependent errors
- Towards Insensitivity of Nadaraya--Watson Estimators to Design Correlation
- Adaptive deep learning for nonlinear time series models
- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- On sufficient conditions for the consistency of local linear kernel estimators
- The smoothing dichotomy in nonparametric regression under long‐memory errors
- Universal kernel-type estimation of random fields
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