On bandwidth choice in nonparametric regression with both short- and long-range dependent errors

DOI10.1214/aos/1034713640zbMath0856.62041OpenAlexW1969388610MaRDI QIDQ1922371

Jörg Polzehl, Hall, Peter, Soumendra Nath Lahiri

Publication date: 24 February 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1034713640

zbMATH Keywords

mean squared errorresamplinglong-range dependencecurve estimationkernel estimatornonparametric regressioncorrelated errorsblock bootstrapshort-range dependencelocal linear smoothingoptimal bandwidth choicedependence structure of errorsfirst-order optimal band-widthsleave-out cross-validation

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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