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: http://hdl.handle.net/10419/85219

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.

Show original at 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)

Arbeitspapier

Nonparametric M-estimation with long-memory errors

Arbeitspapier

On robust local polynomial estimation with long-memory errors

Arbeitspapier

On robust local polynominal estimation with long-memory errors

On robust local polynomial estimation with long-memory errors

Essays on long memory estimation and testing for structural breaks under long-range dependent errors

Nonparametric curve estimation by wavelet thresholding with locally stationary errors

Artikel

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

Arbeitspapier

Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors

Hochschulschrift

GARCH models with long memory and nonparametric specifications

Hochschulschrift

GARCH models with long memory and nonparametric specifications

Arbeitspapier

Nonparametric M-estimation with long-memory errors

Arbeitspapier

On robust local polynomial estimation with long-memory errors

Arbeitspapier

On robust local polynominal estimation with long-memory errors

On robust local polynomial estimation with long-memory errors

Essays on long memory estimation and testing for structural breaks under long-range dependent errors

Nonparametric curve estimation by wavelet thresholding with locally stationary errors

Artikel

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

Arbeitspapier

Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors

Hochschulschrift

GARCH models with long memory and nonparametric specifications

Hochschulschrift

GARCH models with long memory and nonparametric specifications

Arbeitspapier

Nonparametric M-estimation with long-memory errors

Arbeitspapier

On robust local polynomial estimation with long-memory errors

Arbeitspapier

On robust local polynominal estimation with long-memory errors

On robust local polynomial estimation with long-memory errors

Essays on long memory estimation and testing for structural breaks under long-range dependent errors

Nonparametric curve estimation by wavelet thresholding with locally stationary errors

Artikel

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

Arbeitspapier

Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors

Hochschulschrift

GARCH models with long memory and nonparametric specifications

Hochschulschrift

GARCH models with long memory and nonparametric specifications

Cultural heritage institutions wishing to register will find more information here.

Fields marked * need to be filled in.

Username*

Please enter your username

Email*

Please enter your email address

Please do not fill this field

First name

Last name

Password*

Please enter your password

Confirm password*

Please enter the same password

I have read the terms of use and the privacy policy for the collection of personal data and accept them. *

This field is required.

I would like to subscribe to the newsletter of the Deutsche Digitale Bibliothek. See newsletter subscription info.

Account created

Your "My DDB" account has been successfully created. Before you can log in to your account, you must click the confirmation link in the message we just sent to the email address you provided.

Nonparametric M-Estimation with Long-Memory Errors

Object Details

References and Relationships

Classification and Topics

Contributors, Places and Time

Further information

Data provider

Object type

Associated

Time of origin

Other Objects (12)

Nonparametric M-estimation with long-memory errors

Nonparametric M-estimation with long-memory errors

On robust local polynomial estimation with long-memory errors

On robust local polynominal estimation with long-memory errors

On robust local polynomial estimation with long-memory errors

Essays on long memory estimation and testing for structural breaks under long-range dependent 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

Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors

GARCH models with long memory and nonparametric specifications

GARCH models with long memory and nonparametric specifications

Nonparametric M-estimation with long-memory errors

Nonparametric M-estimation with long-memory errors

On robust local polynomial estimation with long-memory errors

On robust local polynominal estimation with long-memory errors

On robust local polynomial estimation with long-memory errors

Essays on long memory estimation and testing for structural breaks under long-range dependent 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

Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors

GARCH models with long memory and nonparametric specifications

GARCH models with long memory and nonparametric specifications

Nonparametric M-estimation with long-memory errors

Nonparametric M-estimation with long-memory errors

On robust local polynomial estimation with long-memory errors

On robust local polynominal estimation with long-memory errors

On robust local polynomial estimation with long-memory errors

Essays on long memory estimation and testing for structural breaks under long-range dependent 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

Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors

GARCH models with long memory and nonparametric specifications

GARCH models with long memory and nonparametric specifications

Related objects

Reset password