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Nonparametric regression under dependent errors with infinite variance

Author

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  • Liang Peng

    ()

  • Qiwei Yao

    ()

Abstract

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Suggested Citation

  • Liang Peng & Qiwei Yao, 2004. "Nonparametric regression under dependent errors with infinite variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(1), pages 73-86, March.
  • Handle: RePEc:spr:aistmt:v:56:y:2004:i:1:p:73-86 DOI: 10.1007/BF02530525
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    References listed on IDEAS

    as
    1. 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.
    2. Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 19-47, November.
    3. Roussas, George G. & Tran, Lanh T. & Ioannides, D. A., 1992. "Fixed design regression for time series: Asymptotic normality," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 262-291, February.
    4. 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.
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    Citations

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    Cited by:

    1. Jia Chen & Li-Xin Zhang, 2010. "Local linear M-estimation for spatial processes in fixed-design models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(3), pages 319-340, May.
    2. Toshio Honda, 2010. "Nonparametric estimation of conditional medians for linear and related processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, pages 995-1021.
    3. Toshio Honda, 2013. "Nonparametric quantile regression with heavy-tailed and strongly dependent errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, pages 23-47.
    4. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355, June.
    5. Ngai Chan & Rongmao Zhang, 2009. "M-estimation in nonparametric regression under strong dependence and infinite variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(2), pages 391-411, June.
    6. Toshio Honda, 2009. "Nonparametric density estimation for linear processes with infinite variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(2), pages 413-439, June.
    7. Toshio Honda, 2010. "Nonparametric estimation of conditional medians for linear and related processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, pages 995-1021.

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