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Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors


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  • Jan Beran


  • Yuanhua Feng



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Bibliographic Info

Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 54 (2002)
Issue (Month): 2 (June)
Pages: 291-311

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Handle: RePEc:spr:aistmt:v:54:y:2002:i:2:p:291-311

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Keywords: Antipersistence; long-range dependence; local polynomial fitting; nonparametric regression; bandwidth selection;


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  1. Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
  2. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
  3. Jan Beran & Yuanhua Feng, 2000. "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Paper 00-16, Center of Finance and Econometrics, University of Konstanz.
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Cited by:
  1. Yuanhua Feng, 2010. "An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method," Working Papers CIE 33, University of Paderborn, CIE Center for International Economics.
  2. Jan Beran & Yuanhua.Feng, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 02-13, Center of Finance and Econometrics, University of Konstanz.
  3. Beran, Jan & Feng, Yuanhua & Ghosh, Sucharita & Sibbertsen, Philipp, 2000. "On robust local polynominal estimation with long-memory errors," Technical Reports 2000,35, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  4. Yuanhua Feng & Jan Beran, 2013. "Optimal convergence rates in non-parametric regression with fractional time series errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 30-39, 01.
  5. Jiti Gao & Peter M. Robinson, 2013. "Inference on Nonstationary Time Series with Moving Mean," Monash Econometrics and Business Statistics Working Papers 15/13, Monash University, Department of Econometrics and Business Statistics.
  6. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
  7. Yuanhua Feng, 2002. "Simultaneously Modelling Conditional Heteroskedasticity and Scale Change," CoFE Discussion Paper 02-12, Center of Finance and Econometrics, University of Konstanz.
  8. Jan Beran & Yuanhua.Feng, 2001. "Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties," CoFE Discussion Paper 01-11, Center of Finance and Econometrics, University of Konstanz.
  9. Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Paper 99-18, Center of Finance and Econometrics, University of Konstanz.
  10. Jing Wang, 2012. "Modelling time trend via spline confidence band," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(2), pages 275-301, April.
  11. Klaus Abberger, 2004. "Nonparametric Regression and the Detection of Turning Points in the Ifo Business Climate," CESifo Working Paper Series 1283, CESifo Group Munich.
  12. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  13. Yuanhua Feng, 2002. "An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series," CoFE Discussion Paper 02-04, Center of Finance and Econometrics, University of Konstanz.
  14. Yuanhua Feng, 2003. "Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection," CoFE Discussion Paper 03-02, Center of Finance and Econometrics, University of Konstanz.
  15. Jan Beran, 2002. "Prediction of 0-1-events for short- and long-memory time series," CoFE Discussion Paper 02-11, Center of Finance and Econometrics, University of Konstanz.
  16. Jan Beran & Yuanhua Feng, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Paper 99-08, Center of Finance and Econometrics, University of Konstanz.
  17. Beran, Jan & Weiershäuser, Arno, 2011. "On spline regression under Gaussian subordination with long memory," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 315-335, February.


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