M-estimation in nonparametric regression under strong dependence and infinite variance
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Volume (Year): 61 (2009)
Issue (Month): 2 (June)
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References listed on IDEAS
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- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
- 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.
- 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.
- Beran, Jan & Ghosh, Sucharita & Sibbertsen, Philipp, 2000.
"Nonparametric M-estimation with long-memory errors,"
2000,36, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Jan Beran & Sucharita Gosh & Philipp Sibbertsen, 2000. "Nonparametric M-Estimation with Long-Memory Errors," CoFE Discussion Paper 00-19, Center of Finance and Econometrics, University of Konstanz.
- 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.
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