M-estimation in nonparametric regression under strong dependence and infinite variance
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References listed on IDEAS
- Knight, Keith, 1993. "Estimation in Dynamic Linear Regression Models with Infinite Variance Errors," Econometric Theory, Cambridge University Press, vol. 9(04), pages 570-588, August.
- 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.
- 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.
- 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.
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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, vol. 65(1), pages 23-47, February.
- Toshio Honda, 2010. "Nonparametric Quantile Regression with Heavy-Tailed and Strongly Dependent Errors," Global COE Hi-Stat Discussion Paper Series gd10-157, Institute of Economic Research, Hitotsubashi University.
More about this item
KeywordsHeavy-tailed; Long-range dependence; M-estimation; Nonparametric regression; Stable distribution;
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