Nonparametric Regressin with Correlated Errors
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Open Access
- 1 May 2001
- journal article
- Published by Institute of Mathematical Statistics in Statistical Science
- Vol. 16 (2) , 134-153
- https://doi.org/10.1214/ss/1009213287
Abstract
Nonparametric regression techniques are often sensitive to the presence of correlation in the errors. The practical consequences of this sensitivity are explained, including the breakdown of several popular data-driven smoothing parameter selection methods. We review the existing literature in kernel regression, smoothing splines and wavelet regression under correlation, both for short-range and long-range dependence. Extensions to random design, higher dimensional models and adaptive estimation are discussed.Keywords
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