Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors

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Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors

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Yuanhua Feng () (Heriot-Watt University, Edinburgh)
Jan Beran

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Yuanhua Feng

Abstract

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Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 07-15.

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Length: 21 pages
Date of creation: 16 Jan 2007
Date of revision:
Handle: RePEc:knz:cofedp:0715

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Paper
- Yuanhua Feng, 2002. "Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 02-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2008-08-06 (All new papers)
NEP-ECM-2008-08-06 (Econometrics)
NEP-ETS-2008-08-06 (Econometric Time Series)
NEP-ORE-2008-08-06 (Operations Research)

References listed on IDEAS
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.:

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. [Downloadable!]
Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(2), pages 291-311, June. [Downloadable!] (restricted)
Beran, Jan & Feng, Yuanhua, 2002. "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 393-419, August. [Downloadable!] (restricted)
Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006. "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper 1593, University Library of Munich, Germany. [Downloadable!]
Other versions:
- Yuanhua Feng & Jan Beran & Keming Yu, 2007. "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Paper 07-14, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
Dr. Peter Kenning & Hilke Plassmann, 2004. "NeuroEconomics," Experimental 0412005, EconWPA. [Downloadable!]

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