Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors

By Jan Beran, Yuanhua Feng. 2002

80 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ebfda0db29013adffcf38f624af9623d6a171dd1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Yuanhua Feng
2. Jan Beran
3. Goeran Kauermann
4. Tatyana Krivobokova

In Statistics and Probability

1. Yuanhua Feng
2. Jan Beran
3. Tatyana Krivobokova
4. Goeran Kauermann

Citations in the corpus

• Local polynomial estimation with a FARIMA-GARCH error process (2001, methodology): “Beran and Feng (1999) proposed to estimate g(í) in nonparametric regression with long-memory errors by local polynomial ®tting, introduced by Stone (1977) and Cleveland (1979).”
• SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE (2004, methodology): “…because it is well known in nonparametric regression~for results with i+i+d+ errors, see, e+g+, Ruppert et al+, 1995; for results with dependent errors, ee, e+g+, Beran and Feng, 2002a, 2000b!+ CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE 573 Remark 3+ The MSE~mean squared error! of ZI ~~v ''!”