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Change in non-parametric regression with long memory errors

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  • Wang Lihong

Abstract

We consider a non-parametric regression model with long-range dependent innovations, in which the regression function may have a discontinuity at an unknown point. We propose a method to estimate the unknown time of change. The rate of consistency and limit distribution of the estimator are studied. Monte Carlo simulations are reported to assess the finite sample behavior of the estimator.

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  • Wang Lihong, 2005. "Change in non-parametric regression with long memory errors," Statistics & Risk Modeling, De Gruyter, vol. 23(2/2005), pages 147-159, February.
    • Handle: RePEc:bpj:strimo:v:23:y:2005:i:2/2005:p:147-159:n:4
    DOI: 10.1524/stnd.2005.23.2.147
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    References listed on IDEAS

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    1. Wang Lihong, 2003. "Limit theorems in change-point problems with multivariate long-range dependent observations," Statistics & Risk Modeling, De Gruyter, vol. 21(3/2003), pages 283-300, March.
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