Local Polynomial Estimation with a FARIMA-GARCH Error Process


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BERAN, Jan, Yuanhua FENG, 1999. Local Polynomial Estimation with a FARIMA-GARCH Error Process

@techreport{Beran1999Local-516, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Local Polynomial Estimation with a FARIMA-GARCH Error Process}, year={1999}, number={1999/08}, author={Beran, Jan and Feng, Yuanhua} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/516"> <dc:contributor>Feng, Yuanhua</dc:contributor> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:52Z</dcterms:available> <dc:creator>Beran, Jan</dc:creator> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dc:language>eng</dc:language> <dc:rights>deposit-license</dc:rights> <dcterms:abstract xml:lang="eng">This paper considers a class of semiparametric models being the sum of a nonparametric trend function g and a FARIMA-GARCH error process. Estimation of g (v) , the vth derivative of g, by local polynomial fitting is investigated. The focus is on the derivation of the asymptotic normality of g (v) . At first a central limit theorem based on martingale theory is developed and asymptotic normality of the sample mean of a FARIMA-GARCH process is proved. The central limit theorem is then extended from the case of an unweighted sum to a weighted sum in order to show the asymptotic normality of g(v) . As an auxiliary result, the weak consistency of a weighted sum is obtained for sec- ond order stationary time series with short- or long memory under very weak conditions. Asymptotic results on g(v) in the presentation of long memory as well as antipersistence are also given for the current model.</dcterms:abstract> <dc:contributor>Beran, Jan</dc:contributor> <dcterms:title>Local Polynomial Estimation with a FARIMA-GARCH Error Process</dcterms:title> <dcterms:issued>1999</dcterms:issued> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:52Z</dc:date> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/516"/> <dc:creator>Feng, Yuanhua</dc:creator> <dc:format>application/pdf</dc:format> </rdf:Description> </rdf:RDF>

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