Premium
Theory & Methods: Local Linear Kernel Regression with Long‐Range Dependent Errors
Author(s) -
Anh Vo,
Wolff Rodney,
Gao Jiti,
Tieng Quang
Publication year - 1999
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00099
Subject(s) - mathematics , kernel regression , statistics , range (aeronautics) , kernel (algebra) , linear regression , regression , econometrics , combinatorics , materials science , composite material
This paper considers the use of a local linear kernel regression method to test whether the mean function of a sequence of long‐range dependent processes has discontinuities or change‐points. It proposes a non‐parametric estimation procedure and then establishes an asymptotic theory for the estimation procedure. Examples, simulated and real, illustrate the estimation procedure.