M-estimation in nonparametric regression under strong dependence and infinite variance
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Bibliographic InfoArticle provided by Springer in its journal Annals of the Institute of Statistical Mathematics.
Volume (Year): 61 (2009)
Issue (Month): 2 (June)
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Web page: http://www.springerlink.com/link.asp?id=102845
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.:
- 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.
- Beran, Jan & Ghosh, Sucharita & Sibbertsen, Philipp, 2000.
"Nonparametric M-estimation with long-memory errors,"
2000,36, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Jan Beran & Sucharita Gosh & Philipp Sibbertsen, 2000. "Nonparametric M-Estimation with Long-Memory Errors," CoFE Discussion Paper 00-19, Center of Finance and Econometrics, University of Konstanz.
- 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.
- 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.
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
- 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.
- 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.
- Toshio Honda, 2010. "Nonparametric Quantile Regression with Heavy-Tailed and Strongly Dependent Errors," Global COE Hi-Stat Discussion Paper Series gd10-157, Institute of Economic Research, Hitotsubashi University.
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