Bandwidth selection for kernel estimate with correlated noise

DOI10.1016/0167-7152(89)90043-6zbMATH Open0676.62040OpenAlexW2012885882MaRDI QIDQ1122897FDOQ1122897

Authors: Shean-Tsong Chiu 

Publication date: 1989

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(89)90043-6

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zbMATH Keywords

trendtime seriesasymptotic distributionbandwidth selectionperiodogramnoise spectrumkernel estimatestrongly consistent estimatesstationary seriesweighted least squares estimationMallows' criterion

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Some Comments on C P
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Title not available (Why is that?)
• Title not available (Why is that?)
• Kernel Regression Estimation Using Repeated Measurements Data
• Bandwidth choice for nonparametric regression
• How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
• Non-linear time series regression
• Weighted least squares estimators on the frequency domain for the parameters of a time series

Cited In (26)

• A Simple Estimator of Error Correlation in Non-parametric Regression Models
• Nonparametric regression with correlated errors.
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• Nonparametric trend estimation in replicated time series
• On bandwidth choice in nonparametric regression with both short- and long-range dependent errors
• Nonparametric estimation of a regression function with dependent observations
• Comparison of bandwidth selectors in nonparametric regression under dependence
• Joint non-parametric estimation of mean and auto-covariances for Gaussian processes
• Bandwidth selection for estimating the two-point correlation function of a spatial point pattern using AMSE
• The reproducing kernel Hilbert space approach in nonparametric regression problems with correlated observations
• A plug-in technique in nonparametric regression with dependence
• Binned modified cross–validation with dependent errors
• An autocorrelation criterion for bandwidth selection in nonparametric regression^∗
• Some uses if cumulants in wavelet analysis
• Testing for Trends in High-Dimensional Time Series
• SEMIFAR forecasts, with applications to foreign exchange rates.
• A stabilized bandwidth selection method for kernel smoothing of the periodogram.
• Bandwidth selection in nonparametric regression with general errors
• Using bimodal kernel for inference in nonparametric regression with correlated errors
• Some automated methods of smoothing time-dependent data
• Nonparametric curve estimation with time series errors
• Bandwidth selection for kernel regression with correlated errors
• An iterated cochrane-orcutt procedure for nonparametric regression
• Trapezoidal rule and sampling designs for the nonparametric estimation of the regression function in models with correlated errors
• Modelling data from inside the Earth: local smoothing of mean and dispersion structure in deep drill data
• Smoothing parameter selection methods for nonparametric regression with spatially correlated errors

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