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Optimal convergence rates in non-parametric regression with fractional time series errors

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  • Yuanhua Feng
  • Jan Beran

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  • 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, January.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:1:p:30-39
    DOI: j.1467-9892.2012.00811.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9892.2012.00811.x
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    Cited by:

    1. Feng, Yuanhua & Zhou, Chen, 2015. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," International Journal of Forecasting, Elsevier, vol. 31(2), pages 349-363.
    2. Sebastian Letmathe & Yuanhua Feng, 2022. "An iterative plug-in algorithm for P-Spline regression," Working Papers CIE 151, Paderborn University, CIE Center for International Economics.
    3. Kris Brabanter & Farzad Sabzikar, 2021. "Asymptotic theory for regression models with fractional local to unity root errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(7), pages 997-1024, October.
    4. Beran, Jan & Feng, Yuanhua, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 02/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    5. Yuanhua Feng & Thomas Gries, 2017. "Data-driven local polynomial for the trend and its derivatives in economic time series," Working Papers CIE 102, Paderborn University, CIE Center for International Economics.

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