Local Polynomial Fitting with Long-Memory and Antipersistent errors
AbstractNonparametric regression with long-range and antipersistent errors is considered. Local polynomial smoothing is investigated for the estimation of the trend function and its derivatives. It is well known that in the presence of long memory (with a fractional differencing parameter 0
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Bibliographic InfoPaper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 99-07.
Length: 20 pages
Date of creation: May 1999
Date of revision:
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- 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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