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Nonparametric regression with long-range dependence

Peter Hall and Jeffrey D. Hart

Stochastic Processes and their Applications, 1990, vol. 36, issue 2, 339-351

Abstract: The effect of dependent errors in fixed-design, nonparametric regression is investigated. It is shown that convergence rates for a regression mean estimator under the assumption of independent errors are maintained in the presence of stationary dependent errors, if and only if [Sigma] r(j)

Keywords: autoregression; convergence; rate; long-range; dependence; moving; average; nonparametric; regression (search for similar items in EconPapers)
Date: 1990
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