Arbeitspapier
Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors
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 dependence structure of the error process is estimated by approximate maximum likelihood. Asymptotic properties of these estimators are described briefly. The focus is on describing the developments of bandwidth selection in this context based on the iterative plug-in idea (Gasser et al., 1991) and some detailed computational aspects. Applications in the framework of the SEMIFAR (semiparametric fractional autoregressive) model (Beran, 1999) illustrate the practical usefulness of the methods described here.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 02/13
- Klassifikation
-
Wirtschaft
- Thema
-
Nonparametric regression
FARIMA error processes
bandwidth selection
iterative plug-in
SEMIFAR model
Regression
Nichtparametrisches Verfahren
Zeitreihenanalyse
Theorie
Statistischer Fehler
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beran, Jan
Feng, Yuanhua
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2002
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-8384
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Beran, Jan
- Feng, Yuanhua
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2002
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