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

Beran, Jan; Feng, Yuanhua

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

Dateien

311_1.pdfGröße: 202.16 KBDownloads: 110

Datum

1999

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

Nonparametric regression with long-range, short-range and antipersistent errors is considered. Local polynomial smoothing is investigated for the estimation of the trend function and its derivatives. It is well known that in the presence of long memory (with a fractional differencing parameter 0 < d

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Anti-persistence, estimation of derivatives, local polynomial fitting, long-range dependence, nonparametric regression

Zitieren

ISO 690

BERAN, Jan, Yuanhua FENG, 1999. Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors

BibTex

@techreport{Beran1999Local-600,
  year={1999},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors},
  number={1999/07},
  author={Beran, Jan and Feng, Yuanhua}
}

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