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Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors
Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002
Persistent link: https://www.econbiz.de/10005357901
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Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection.
Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2003
Persistent link: https://www.econbiz.de/10005146725
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On parameter estimation for locally stationary long-memory processes
Beran, Jan - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2007
We consider parameter estimation for time-dependent locally stationary long-memory processes. The asymptotic distribution of an estimator based on the local infinite autoregressive representation is derived, and asymptotic formulas for the mean squared error of the estimator, and the...
Persistent link: https://www.econbiz.de/10005146736
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Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors
Feng, Yuanhua; Beran, Jan - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2007
Persistent link: https://www.econbiz.de/10005146754
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Exploring local dependence
Abberger, Klaus - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002
variables. Often, scalar dependence measures, such as correlation, cannot reflect the complex dependence structure of two …
Persistent link: https://www.econbiz.de/10005562282
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A simple graphical method to explore tail-dependence in stock-return pairs
Abberger, Klaus - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2004
-Pearson correlation coefficient, but the dependence structure can also be analyzed locally. In this article the exploration of …
Persistent link: https://www.econbiz.de/10005178255