Nonparametric regression under dependent errors with infinite variance

Annals of the Institute of Statistical Mathematics

Volumn 56, Issue 1, 2004, Pages 73-86

  Peng, Liang ^a   Yao, Qiwei ^b  

^a GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

ARMA; Fractional ARIMA; Heavy tail; Least absolute deviation estimation; Long memory; Median; Stable distribution; Time series

Indexed keywords

ASYMPTOTIC STABILITY; BANDWIDTH; CONVERGENCE OF NUMERICAL METHODS; ERROR ANALYSIS; FUNCTIONS; LEAST SQUARES APPROXIMATIONS; MATHEMATICAL MODELS;

ARMA; FRACTIONAL ARIMA; HEAVY TAILS; LEAST ABSOLUTE DEVIATION ESTIMATION; LONG MEMORY; MEDIAN; STABLE DISTRIBUTION; TIME SERIES;

REGRESSION ANALYSIS;

EID: 3142647376     PISSN: 00203157     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02530525     Document Type: Article

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