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.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics