Asymptotic theory for regression models with fractional local to unity root errors
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00184-021-00812-7.pdf
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3. Barndorff-Nielsen O (1998) Processes of normal inverse gaussian type. Finance Stoch 2:41–68
4. Beran J, Feng Y (2013) Optimal convergence rates in non-parametric regression with fractional time series errors. J Time Ser Anal 34:30–39
5. Beran J, Weiershäuser A, Galizia C, Rein J, Smith B, Strauch M (2014) On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data. Sankhya B 76:49–81
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