Beran, Jan; Yuanhua.Feng - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002
This paper summarizes recent developments in non- and semiparametric regres- sion with stationary fractional time series errors, where the error process may be short-range, long-range dependent or antipersistent. The trend function in this model is estimated nonparametrically, while the...