Non-parametric Estimation under Strong Dependence.
نویسندگان
چکیده
We study non-parametric regression function estimation for models with strong dependence. Compared with short-range dependent models, long-range dependent models often result in slower convergence rates. We propose a simple differencing-sequence based non-parametric estimator that achieves the same convergence rate as if the data were independent. Simulation studies show that the proposed method has good finite sample performance.
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ورودعنوان ژورنال:
- Journal of time series analysis
دوره 35 1 شماره
صفحات -
تاریخ انتشار 2014