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

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

Type of Publication: Working Paper/Technical Report
URI (citable link): http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-3111
Author: Beran, Jan; Feng, Yuanhua
Year of publication: 1999
Series: CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 1999/07
Summary:
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
Subject (DDC): 330 Economics
Keywords: Anti-persistence, estimation of derivatives, local polynomial fitting, long-range dependence, nonparametric regression
Link to License: In Copyright

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

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

application/pdf eng 2011-03-22T17:45:11Z 2011-03-22T17:45:11Z Feng, Yuanhua terms-of-use Beran, Jan Beran, Jan 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 Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors Feng, Yuanhua 1999

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