Local linear kernel regression with long-range dependent errors

Vo Anh; Rodney Wolff; Jiti Gao; Quang Tieng

doi:10.1111/1467-842X.00099

Local linear kernel regression with long-range dependent errors

Vo Anh, Rodney Wolff, Jiti Gao, Quang Tieng

Research output: Contribution to journal › Article › Research › peer-review

4 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	463-479
Number of pages	17
Journal	Australian & New Zealand Journal of Statistics
Volume	41
Issue number	4
DOIs	https://doi.org/10.1111/1467-842X.00099
Publication status	Published - 1 Jan 1999

Keywords

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

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10.1111/1467-842X.00099

Cite this

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AB - 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.

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KW - Long-range dependence

KW - Spectral density

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Local linear kernel regression with long-range dependent errors

Abstract

Keywords

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