Beran, Jan; Gosh, Sucharita; Sibbertsen, Philipp - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2000
We investigate the behavior of nonparametric kernel M-estimators in the presence of long-memory errors. The optimal bandwidth and a central limit theorem are obtained. It turns out that in the Gaussian case all kernel M-estimators have the same limiting normal distribution. The motivation behind...