Nonparametric M-estimation with long-memory errors

Beran J, Ghosh S & Sibbertsen P
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Beran, J., Ghosh, S., & Sibbertsen, P. (2003). Nonparametric M-estimation with long-memory errors. Journal of Statistical Planning and Inference, 117(2), 199-205. https://doi.org/10.1016/S0378-3758(02)00391-9
https://www.dora.lib4ri.ch/wsl/islandora/object/wsl:2543

We investigate the behavior of nonparametric kernel M-estimators in the presence of long-memory errors. The optimal bandwidth and a central limit theorem are obtained. It turns out that in the Gaussian case all kernel M-estimators have the same limiting normal distribution. The motivation behind this study is illustrated with an example.

Details
Publication Type

Journal Article

Title

Nonparametric M-estimation with long-memory errors

Author(s)

Beran, Jan

Ghosh, Sucharita (WSL)

Sibbertsen, Philipp

Journal

Journal of Statistical Planning and Inference

Volume

117

Issue

2

Start Page

199

End Page

205

Publication Year

2003

Peer Review

Yes