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Local Linear Kernel Regression with Long-Range Dependent Errors |
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| Authors: | Vo Anh,Rodney Wolff,Jiti Gao,& Quang Tieng |
| Affiliation: | Queensland University of Technology |
| Abstract: | 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. |
| Keywords: | change-point discontinuity local linear kernel regression long-range dependence spectral density |