Local linear kernel regression with long-range dependent errors

Vo Anh, Rodney Wolff, Jiti Gao, Quang Tieng

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)


This paper considers the use of a local linear kernel regression method to test whether the mean function of a sequence of long-range dependent processes has discontinuities or change-points. It proposes a non-parametric estimation procedure and then establishes an asymptotic theory for the estimation procedure. Examples, simulated and real, illustrate the estimation procedure.

Original languageEnglish
Pages (from-to)463-479
Number of pages17
JournalAustralian & New Zealand Journal of Statistics
Issue number4
Publication statusPublished - 1 Jan 1999


  • Change-point
  • Discontinuity
  • Local linear kernel regression
  • Long-range dependence
  • Spectral density

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