Local linear estimation for regression models with locally stationary long memory errors

被引：0
作者：
Lihong Wang
机构：
[1] Nanjing University,Department of Mathematics
来源：
Journal of the Korean Statistical Society | 2016年 / 45卷
关键词：
primary 62M10; secondary 62G08; Asymptotic behavior; Local linear regression estimation; Locally stationary long memory process;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we consider the local linear regression estimation for the nonparametric regression models with locally stationary long memory errors. The asymptotic behaviors of the regression estimators are established. It is shown that there is a multiple bandwidth dichotomy for the asymptotic distribution of the estimators of the regression function and its derivatives. The finite sample performance of the estimator is discussed through simulation studies.
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页码：381 / 394
页数：13
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