Nonparametric M-estimation with long-memory errors

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. © 2002 Elsevier B.V. All rights reserved.