Optimal convergence rates in non-parametric regression with fractional time series errors
نویسندگان
چکیده
منابع مشابه
Optimal convergence rates in nonparametric regression with fractional time series errors
Consider the estimation of g( ), the -th derivation of the mean function in a xed design, nonparametric regression with a linear, invertible, stationary time series error process i. Assume that g 2 C k and that the spectral density of i has the form f( ) cf j j as ! 0 with constants cf > 0 and 2 ( 1; 1). Let r = (1 )(k )=(2k + 1 ). It is shown that the optimal convergence rate for ĝ( ) is n r ....
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2012
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2012.00811.x