KERNEL REGRESSION SMOOTHING OF TIME SERIES

DOI10.1111/J.1467-9892.1992.TB00103.XzbMATH Open0759.62016OpenAlexW2080426573MaRDI QIDQ4012947FDOQ4012947

Authors: Philippe Vieu, Wolfgang K. Härdle 

Publication date: 27 September 1992

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00103.x

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zbMATH Keywords

nonparametric regressioncross validationdependent datadata-driven bandwidthtime series predictionalpha-mixingautoregression functionleave-one-out estimatorCV-methodNadaraya-Watson-kernel estimator

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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• Kernel smoothing of periodograms under Kullback-Leibler discrepancy
• Bootstrap of kernel smoothing in nonlinear time series
• Nonparametric estimation of a regression function and its derivatives under an ergodic hypothesis
• Mixtures of nonparametric autoregressions
• Order Choice in Nonlinear Autoregressive Models
• A Bayesian approach for determining the optimal semi-metric and bandwidth in scalar-on-function quantile regression with unknown error density and dependent functional data
• Trending time-varying coefficient time series models with serially correlated errors
• Recursive Kernel Density Estimation for Time Series
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• LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
• Non-parametric estimation of a multiscale CHARN model using SVR
• Bandwidth selection for kernel density estimation: a review of fully automatic selectors
• Predictive inference for locally stationary time series with an application to climate data
• Uniform consistency rate of \(k\)NN regression estimation for functional time series data
• Nonparametric estimation equations for time series data.
• Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting
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• Confidence intervals of variance functions in generalized linear model
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• Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series
• Adaptively varying-coefficient spatiotemporal models
• Non‐parametric Regression with Dependent Censored Data
• Adaptive estimation in partially linear autoregressive models
• Robust nonparametric estimation for spatial regression
• Consistent estimation of a general nonparametric regression function in time series
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• The local bootstrap for Markov processes
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• Nonparametric time series regression
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• On a nonparametric resampling scheme for Markov random fields
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• Some automated methods of smoothing time-dependent data
• A bootstrap detection for operational determinism
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• Growth curves: A two-stage nonparametric approach
• On the functional local linear estimate for spatial regression
• Error variance estimation in semi-functional partially linear regression models
• Semiparametric autoregressive conditional duration model: theory and practice
• Nonparametric spatial prediction under stochastic sampling design

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