Nonparametric M-Estimation with long-memory errors

Beran, Jan; Ghosh, Sucharita; Sibbertsen, Philipp

Nonparametric M-Estimation with long-memory errors

Dateien

dp00_19.pdfGröße: 216.77 KBDownloads: 169

Datum

2000

Autor:innen

Beran, Jan

Ghosh, Sucharita

Sibbertsen, Philipp

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

We investigate the behavior of nonparametric kernel M-estimator in the presence of long-memory errors. The optimal bandwidth and 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.

Fachgebiet (DDC)

510 Mathematik

Zitieren

ISO 690

BERAN, Jan, Sucharita GHOSH, Philipp SIBBERTSEN, 2000. Nonparametric M-Estimation with long-memory errors

BibTex

@techreport{Beran2000Nonpa-722,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Nonparametric M-Estimation with long-memory errors},
  number={2000/19},
  author={Beran, Jan and Ghosh, Sucharita and Sibbertsen, Philipp}
}

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