On estimating the marginal distribution of a detrended series with long memory

Sucharita Ghosh

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 23, 11539-11557

Abstract: Consider continuous real-valued time series observations yj, j = 1, 2, …, n, with finite variance and a smooth trend. Let ϵj=yj-E(yj)$\epsilon _j = y_j - \mathbb {E}(y_j)$ be the residuals which have a cumulative distribution function F(tj, ·) that is a smooth but an arbitrary function of time. We address kernel estimation of F when the errors have long-memory correlations, using regression residuals and kernels that have absolutely integrable characteristic functions.

Date: 2017
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DOI: 10.1080/03610926.2016.1275698

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