Arbeitspapier
Nonparametric M-Estimation with Long-Memory Errors
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 this study is illustrated with an example.
- Language
-
Englisch
- Bibliographic citation
-
Series: CoFE Discussion Paper ; No. 00/19
- Classification
-
Wirtschaft
- Subject
-
Zeitreihenanalyse
Nichtparametrisches Verfahren
Theorie
Statistischer Fehler
- Event
-
Geistige Schöpfung
- (who)
-
Beran, Jan
Gosh, Sucharita
Sibbertsen, Philipp
- Event
-
Veröffentlichung
- (who)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
-
Konstanz
- (when)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-5199
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Beran, Jan
- Gosh, Sucharita
- Sibbertsen, Philipp
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2000
Other Objects (12)
Nonparametric M-estimation with long-memory errors
Nonparametric M-estimation with long-memory errors
Nonparametric M-Estimation with long-memory errors
On robust local polynominal estimation with long-memory errors
On robust local polynomial estimation with long-memory errors
On robust local polynomial estimation with long-memory errors
On robust local polynomial estimation with long-memory errors
Nonparametric curve estimation by wavelet thresholding with locally stationary errors
Multiscale inference and long‐run variance estimation in non‐parametric regression with time series errors
Multivariate Long-Memory Processes and Nonparametric Density Estimation, with Applications to Ridge Detection
Essays on long memory estimation and testing for structural breaks under long-range dependent errors
GARCH models with long memory and nonparametric specifications
Nonparametric M-estimation with long-memory errors
Nonparametric M-estimation with long-memory errors
Nonparametric M-Estimation with long-memory errors
On robust local polynominal estimation with long-memory errors
On robust local polynomial estimation with long-memory errors
On robust local polynomial estimation with long-memory errors
On robust local polynomial estimation with long-memory errors
Nonparametric curve estimation by wavelet thresholding with locally stationary errors
Multiscale inference and long‐run variance estimation in non‐parametric regression with time series errors
Multivariate Long-Memory Processes and Nonparametric Density Estimation, with Applications to Ridge Detection
Essays on long memory estimation and testing for structural breaks under long-range dependent errors
GARCH models with long memory and nonparametric specifications
Nonparametric M-estimation with long-memory errors
Nonparametric M-estimation with long-memory errors
Nonparametric M-Estimation with long-memory errors
On robust local polynominal estimation with long-memory errors
On robust local polynomial estimation with long-memory errors
On robust local polynomial estimation with long-memory errors
On robust local polynomial estimation with long-memory errors
Nonparametric curve estimation by wavelet thresholding with locally stationary errors
Multiscale inference and long‐run variance estimation in non‐parametric regression with time series errors
Multivariate Long-Memory Processes and Nonparametric Density Estimation, with Applications to Ridge Detection
Essays on long memory estimation and testing for structural breaks under long-range dependent errors