Non-parametric estimation under strong dependence

Zhibiao Zhao; Yiyun Zhang; Runze Li

doi:10.1111/jtsa.12044

Non-parametric estimation under strong dependence

Zhibiao Zhao, Yiyun Zhang, Runze Li

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	4-15
Number of pages	12
Journal	Journal of Time Series Analysis
Volume	35
Issue number	1
DOIs	https://doi.org/10.1111/jtsa.12044
State	Published - Jan 2014

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1111/jtsa.12044

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abstract = "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.",

author = "Zhibiao Zhao and Yiyun Zhang and Runze Li",

year = "2014",

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AB - 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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Non-parametric estimation under strong dependence

Abstract

All Science Journal Classification (ASJC) codes

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