Non-parametric estimation under strong dependence. (English) Zbl 1301.62044
Summary: We study nonparametric regression function estimation for models with strong dependence. Compared with short-range dependent models, long-range dependent models often result in slower convergence rates. We propose a simple differencing-sequence based nonparametric estimator that achieves the same convergence rate as if the data were independent. Simulation studies show that the proposed method has good finite sample performance.
MSC:
| 62G08 | Nonparametric regression and quantile regression |
| 62G05 | Nonparametric estimation |
| 62G20 | Asymptotic properties of nonparametric inference |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
Keywords:
differencing; long-range dependence; nonparametric regression; short-range dependence; time seriesReferences:
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