Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10005146725
Persistent link: https://www.econbiz.de/10005146754
Persistent link: https://www.econbiz.de/10005357901
Persistent link: https://www.econbiz.de/10014342468
Persistent link: https://www.econbiz.de/10010484911
Persistent link: https://www.econbiz.de/10011543839
This paper considers a class of semiparametric models being the sum of a non-parametric trend function g and a FARIMA-GARCH error process. Estimation of ĝ (v), the vth derivative of g, by local polynomial fitting is investigated. The focus is on the derivation of the asymptotic normality of ĝ...
Persistent link: https://www.econbiz.de/10011544427
Persistent link: https://www.econbiz.de/10012628648
Persistent link: https://www.econbiz.de/10012508951
This paper considers estimation of the regression function and its derivatives in nonparametric regression with fractional time series errors. We focus on investigating the properties of a kernel dependent function V (delta) in the asymptotic variance and finding closed form formula of it, where...
Persistent link: https://www.econbiz.de/10010263412