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Randomized Fixed Design Regression under Long-Range-Dependent Errors |
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| Authors: | Artur Bryk |
| Affiliation: | Faculty of Mathematics and Information Science , Warsaw University of Technology , Warsaw, Poland |
| Abstract: | We consider a fixed-design regression model with long-range-dependent errors and introduce an artificial randomization of grid points at which observations are taken in order to diminish the impact of strong dependence. The resulting estimator is shown to exhibit smoothing dichotomy with the variance in both cases, diminishing more quickly than in the fixed-design case. |
| Keywords: | Convergence of moments Kernel estimator Linear process Long- and short-range dependence Randomization Random- and fixed-design regression Smoothing dichotomy |