Abstract
In this paper, we consider a semiparametric regression model under long-range dependent errors. By approximating the nonparametric component by a finite series sum, we construct consistent estimators for both parametric and nonparametric components. Meanwhile, convergence rates for the consistent estimators are also investigated. Additionally, an optimal truncation parameter selection procedure is proposed.
| Original language | English |
|---|---|
| Pages (from-to) | 37-57 |
| Number of pages | 21 |
| Journal | Journal of Statistical Planning and Inference |
| Volume | 80 |
| Issue number | 1 |
| Publication status | Published - 1 Aug 1999 |
Keywords
- α-mixing
- Long-range dependence
- Optimal convergence rate
- Optimal truncation parameter selection
- Semiparametric regression