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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

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

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

Optimal convergence rates in nonparametric regression with fractional time series errors

Feng, Yuanhua - 2002

Persistent link: https://www.econbiz.de/10011543839

Local polynomial estimation with a FARIMA-GARCH error process

Beran, Jan; Feng, Yuanhua - 1999

This paper considers a class of semiparametric models being the sum of a non-parametric trend function g and a FARIMA-GARCH error process. Estimation of ĝ (v), the vth derivative of g, by local polynomial fitting is investigated. The focus is on the derivation of the asymptotic normality of ĝ...

Persistent link: https://www.econbiz.de/10011544427