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M-estimation in nonparametric regression under strong dependence and infinite variance

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Author Info

  • Ngai Chan

    ()

  • Rongmao Zhang

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10463-007-0142-4
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    Bibliographic Info

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

    Volume (Year): 61 (2009)
    Issue (Month): 2 (June)
    Pages: 391-411

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    Handle: RePEc:spr:aistmt:v:61:y:2009:i:2:p:391-411

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Heavy-tailed; Long-range dependence; M-estimation; Nonparametric regression; Stable distribution;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Liang Peng & Qiwei Yao, 2004. "Nonparametric regression under dependent errors with infinite variance," Annals of the Institute of Statistical Mathematics, Springer, vol. 56(1), pages 73-86, March.
    2. Beran, Jan & Ghosh, Sucharita & Sibbertsen, Philipp, 2000. "Nonparametric M-estimation with long-memory errors," Technical Reports 2000,36, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Knight, Keith, 1993. "Estimation in Dynamic Linear Regression Models with Infinite Variance Errors," Econometric Theory, Cambridge University Press, vol. 9(04), pages 570-588, August.
    4. Koul, Hira L. & Surgailis, Donatas, 2001. "Asymptotics of empirical processes of long memory moving averages with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 309-336, February.
    5. Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
    6. 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.
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    Citations

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    Cited by:
    1. Toshio Honda, 2013. "Nonparametric quantile regression with heavy-tailed and strongly dependent errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 65(1), pages 23-47, February.

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