On bandwidth selection problems in nonparametric trend estimation under martingale difference errors

DOI10.3150/21-BEJ1347MaRDI QIDQ2073219zbMATH OpenFDO

Authors Didier A. Girard, Karim Benhenni, Sana Louhichi

Publication date 1 February 2022

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.10164, https://projecteuclid.org/journals/bernoulli/volume-28/issue-1/On-bandwidth-selection-problems-in-nonparametric-trend-estimation-under-martingale/10.3150/21-BEJ1347.full

zbMATH Keywords

ARCH(1)average squared errorcross validationgeneralized cross validationkernel nonparametric modelsMallows criterionmartingale difference sequencesmean average squared errornonparametric trend estimationsmoothing parameter selection

Mathematics Subject Classification ID

Limit theorems in probability theory (60Fxx) Nonparametric inference (62Gxx) Linear inference, regression (62Jxx)

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Cited in

(3)

• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
• On bandwidth selection problems in nonparametric trend estimation under martingale difference errors
• On bandwidth selection problems in nonparametric trend estimation under martingale difference errors

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• ElemStatLearn

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