The smoothing dichotomy in nonparametric regression under long‐memory errors

Sándor Csörgő

Statistica Neerlandica, 2002, vol. 56, issue 2, 132-142

Abstract: The phenomenon of smoothing dichotomy in random‐design nonparametric regression is exposed in nontechnical terms from two recent papers published jointly with Jan Mielniczuk. This concerns the asymptotic distribution of kernel estimators when the errors exhibit long‐range dependence, being instantaneous functions either of Gaussian sequences or of infinite‐order moving averages, depending on the amount of smoothing.

Date: 2002
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