Arbeitspapier
Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors
This paper considers estimation of the regression function and its derivatives in nonparametric regression with fractional time series errors. We focus on investigating the properties of a kernel dependent function V (delta) in the asymptotic variance and finding closed form formula of it, where delta is the long-memory parameter. - General solution of V (delta) for polynomial kernels is given together with a few examples. It is also found, e.g. that the Uniform kernel is no longer the minimum variance one by strongly antipersistent errors and that, for a fourth order kernel, V (delta) at some delta > 0 is clearly smaller than R(K). The results are used to develop a general data-driven algorithm. Data examples illustrate the practical relevance of the approach and the performance of the algorithm
- Language
-
Englisch
- Bibliographic citation
-
Series: CoFE Discussion Paper ; No. 03/02
- Classification
-
Wirtschaft
- Subject
-
Nonparametric regression
long memory
antipersistence
fractional difference
kernel dependent function
bandwidth selection
Nichtparametrisches Verfahren
Zeitreihenanalyse
Statistischer Fehler
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Feng, Yuanhua
- Event
-
Veröffentlichung
- (who)
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University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
-
Konstanz
- (when)
-
2003
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-10046
- 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
- Feng, Yuanhua
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2003
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