Change in non-parametric regression with long memory errors

Summary 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:	Wang, Lihong
Published in:	Statistics & Decisions. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 23.2005, 2, p. 147-159
Publisher:	Oldenbourg Wissenschaftsverlag GmbH
Subject:	change-point \| long memory \| non-parametric regression

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Type of publication:	Article
Language:	Undetermined
Other identifiers:	10.1524/stnd.2005.23.2.147 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014621304