M-estimation in nonparametric regression under strong dependence and infinite variance

DOI10.1007/S10463-007-0142-4MaRDI QIDQ730760zbMATH OpenOpenAlexFDO

Authors Ngai Hang Chan, Rong-Mao Zhang

Publication date 30 September 2009

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-007-0142-4

zbMATH Keywords

M-estimationnonparametric regressionlong-range dependencestable distributionheavy-tailed

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Asymptotics of empirical processes of long memory moving averages with infinite variance.
• Bandwidth selection for kernel regression with long-range dependent errors
• Comparison of two bandwidth selectors with dependent errors
• Large-sample inference for nonparametric regression with dependent errors
• Local linear regression estimation under long-range dependence: strong consistency and rates
• M-estimation for autoregression with infinite variance
• Nonparametric M-estimation with long-memory errors
• Nonparametric regression under dependent errors with infinite variance
• Nonparametric regression under long-range dependent normal errors
• Nonparametric regression with heteroscedastic long memory errors
• Nonparametric regression with long-range dependence
• Rates of convergence and optimal spectral bandwidth for long range dependence
• Robust Regression with Asymmetric Heavy-Tail Noise Distributions
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Stable limits of empirical processes of moving averages with infinite variance.
• Weighted sums of i.i.d. random variables attracted to integrals of stable processes

Cited in

(15)

• Nonparametric regression under dependent errors with infinite variance
• Robust nonparametric regression with simultaneous scale curve estimation based on dependent observations
• Local polynomial \(M\)-estimation in random design regression with dependent errors
• Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures
• Non-parametric estimation under strong dependence
• Discontinuities in robust nonparametric regression with \(\alpha\)-mixing dependence
• Robust estimation in parametric time series models under long- and short-range-dependent structures
• LocalL-estimators for nonparametric regression under dependence
• M-estimators with non-standard rates of convergence and weakly dependent data
• Estimation for regression with infinite variance errors
• Nonparametric quantile regression with heavy-tailed and strongly dependent errors
• ROBUST REGRESSION SMOOTHING FOR DEPENDENT OBSERVATIONS
• Local \(M\)-estimation for conditional variance function with dependent data
• Local M-estimator for nonparametric time series.
• M-estimation for linear models with exchangeable errors

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Uses Software

• longmemo

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