IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v59y1995i1p143-155.html
   My bibliography  Save this article

Distant long-range dependent sums and regression estimation

Author

Listed:
  • Csörgo, Sándor
  • Mielniczuk, Jan

Abstract

Consider a stationary sequence G(Z0), G(Z1), ..., where G(·) is a Borel function and Z0, Z1, ... is a sequence of standard normal variables with covariance function E(Z0Zj) = j-[alpha]L(j), j = 1, 2, ..., where E(G(Z0)) = 0, E(G2(Z0)) 0 and sequences of gap-lengths l1,n, ..., lk,n such that l1,n --> [infinity] and lj,n - lj-1,n --> [infinity], j = 2, ..., k, arbitrary slowly, the vector process , 0

Suggested Citation

  • Csörgo, Sándor & Mielniczuk, Jan, 1995. "Distant long-range dependent sums and regression estimation," Stochastic Processes and their Applications, Elsevier, vol. 59(1), pages 143-155, September.
    • Handle: RePEc:eee:spapps:v:59:y:1995:i:1:p:143-155
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(95)00032-3
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marinucci, D. & Robinson, P. M., 2000. "Weak convergence of multivariate fractional processes," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 103-120, March.
    2. Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.
    3. Deo, R. S., 1997. "Nonparametric regression with long-memory errors," Statistics & Probability Letters, Elsevier, vol. 33(1), pages 89-94, April.
    4. Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Beran, Jan & Feng, Yuanhua, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Papers 99/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Sangyeol Lee & Okyoung Na & Seongryong Na, 2003. "On the cusum of squares test for variance change in nonstationary and nonparametric time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(3), pages 467-485, September.
    3. Beran, Jan & Feng, Yuanhua, 2000. "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Papers 00/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    4. Deo, R. S., 1997. "Nonparametric regression with long-memory errors," Statistics & Probability Letters, Elsevier, vol. 33(1), pages 89-94, April.
    5. Benhenni, K. & Hedli-Griche, S. & Rachdi, M. & Vieu, P., 2008. "Consistency of the regression estimator with functional data under long memory conditions," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 1043-1049, June.
    6. Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
    7. 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).
    8. Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
    9. 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.
    10. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
    11. Linyuan Li & Yimin Xiao, 2007. "Mean Integrated Squared Error of Nonlinear Wavelet-based Estimators with Long Memory Data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(2), pages 299-324, June.
    12. Tanujit Dey & Kun Ho Kim & Chae Young Lim, 2018. "Bayesian time series regression with nonparametric modeling of autocorrelation," Computational Statistics, Springer, vol. 33(4), pages 1715-1731, December.
    13. Youndjé, É. & Vieu, P., 2006. "A note on quantile estimation for long-range dependent stochastic processes," Statistics & Probability Letters, Elsevier, vol. 76(2), pages 109-116, January.
    14. Beran, Jan & Ocker, Dirk, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Papers 99/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    15. Peter M Robinson, 2009. "Developments in the Analysis of Spatial Data," STICERD - Econometrics Paper Series 531, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    16. 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.
    17. Mohamed CHIKHI & Ali BENDOB & Ahmed Ramzi SIAGH, 2019. "Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 221-248, December.
    18. Robinson, Peter, 2008. "Inference on nonparametrically trending time series with fractional errors," LSE Research Online Documents on Economics 25471, London School of Economics and Political Science, LSE Library.
    19. Robinson, P.M., 2011. "Asymptotic theory for nonparametric regression with spatial data," Journal of Econometrics, Elsevier, vol. 165(1), pages 5-19.
    20. Feng, Yuanhua, 2003. "Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 03/02, University of Konstanz, Center of Finance and Econometrics (CoFE).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:59:y:1995:i:1:p:143-155. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.