Authors: Ghosh, Sucharita
Sibbertsen, Philipp
Title: Nonparametric M-estimation with long-memory errors
Language (ISO): en
Abstract: We investigate the behavior of nonparametric kernel M-estimators in the presence of long-memory errors. The optimal bandwidth and a central limit theorem are obtained. It turns out that in the Gaussian case all kernel M-estimators have the same limiting normal distribution. The motivation behind this study is illustrated with an example.
URI: http://hdl.handle.net/2003/5041
http://dx.doi.org/10.17877/DE290R-15124
Issue Date: 2000
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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