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.

中文翻译：

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强依赖下的非参数估计

我们研究了具有强依赖性的模型的非参数回归函数估计。与短程依赖模型相比，长程依赖模型通常会导致收敛速度较慢。我们提出了一个简单的基于差分序列的非参数估计器，它实现了与数据独立一样的收敛速度。仿真研究表明，该方法具有良好的有限样本性能。