JSM 2003 Online Program

Abstract #300044

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Activity Number:	210
Type:	Contributed
Date/Time:	Tuesday, August 5, 2003 : 8:30 AM to 10:20 AM
Sponsor:	Section on Nonparametric Statistics
Abstract - #300044
Title:	Wavelet Estimation of the Mean Regression Function with Long Memory Data
Author(s):	Linyuan Li*+
Companies:	University of New Hampshire
Address:	262 Forest Park, Durham, NH, 03824,
Keywords:	Mean integrated square error ; Nonlinear wavelet-based estimator ; Nonparametric regression ; Long-range dependence ; Rates of convergence
Abstract:	We provide an asymptotic expansion for the mean integrated squared error (MISE) of nonlinear wavelet-based mean regression function estimators with long memory data. We show this MISE expansion, when the underlying mean regression function is only piecewise smooth, is the same as analogous expansion for the kernel estimators. However, for the kernel estimators, this MISE expansion generally fails if the additional smoothness assumption is absent.

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