Local Polynomial Estimation with a FARIMA-GARCH Error Process
نویسندگان
چکیده
منابع مشابه
Local Polynomial Estimation with a FARIMA-GARCH Error Process
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( ), the th derivative of g, by local polynomial tting is investigated. The focus is on the derivation of the asymptotic normality of ĝ( ). At rst a central limit theorem based on martingale theory is developed and asymptotic normality of the s...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2001
ISSN: 1350-7265
DOI: 10.2307/3318539