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 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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2000_36.pdf | DNB | 239.11 kB | Adobe PDF | View/Open |
tr36-00.ps | 300.92 kB | Postscript | View/Open |
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