Change in non-parametric regression with long memory errors

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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Year of publication:	2005
Authors:	Lihong, Wang
Published in:	Statistics & Risk Modeling. - De Gruyter. - Vol. 23.2005, 2/2005, p. 147-159
Publisher:	De Gruyter

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011015642