M-estimation in nonparametric regression under strong dependence and infinite variance

被引：0
作者：
Ngai Hang Chan
Rongmao Zhang
机构：
[1] Chinese University of Hong Kong,Department of Statistics
[2] Zhejiang University,Department of Mathematics
来源：
Annals of the Institute of Statistical Mathematics | 2009年 / 61卷
关键词：
Heavy-tailed; Long-range dependence; M-estimation; Nonparametric regression; Stable distribution;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A robust local linear regression smoothing estimator for a nonparametric regression model with heavy-tailed dependent errors is considered in this paper. Under certain regularity conditions, the weak consistency and asymptotic distribution of the proposed estimators are obtained. If the errors are short-range dependent, then the limiting distribution of the estimator is normal. If the data are long-range dependent, then the limiting distribution of the estimator is a stable distribution.
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页码：391 / 411
页数：20
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