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Keywords:

  • Differencing;
  • long-range dependence;
  • non-parametric regression;
  • short-range dependence;
  • time series

We study non-parametric regression function estimation for models with strong dependence. Compared with short-range dependent models, long-range dependent models often result in slower convergence rates. We propose a simple differencing-sequence based non-parametric estimator that achieves the same convergence rate as if the data were independent. Simulation studies show that the proposed method has good finite sample performance.