Nonparametric M-estimation with long-memory errors

  • Beran J
  • Ghosh S
  • Sibbertsen P
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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.

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