M-estimation in nonparametric regression under strong dependence and infinite variance |
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| Authors: | Ngai Hang Chan Rongmao Zhang |
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| Institution: | (1) Department of Statistics, Chinese University of Hong Kong, Shatin, NT, Hong Kong;(2) Department of Mathematics, Zhejiang University, Hangzhou, 310027, China |
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| Abstract: | A robust local linear regression smoothing estimator for a nonparametric regression model with heavy-tailed dependent errors
is considered in this paper. Under certain regularity conditions, the weak consistency and asymptotic distribution of the
proposed estimators are obtained. If the errors are short-range dependent, then the limiting distribution of the estimator
is normal. If the data are long-range dependent, then the limiting distribution of the estimator is a stable distribution. |
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| Keywords: | Heavy-tailed Long-range dependence M-estimation Nonparametric regression Stable distribution |
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