BANDWIDTH SELECTION IN KERNEL SMOOTHING OF TIME SERIES

DOI10.1111/J.1467-9892.1996.TB00264.XMaRDI QIDQ4870530zbMATHOpenAlexFDO

Authors Tae Yoon Kim, Dennis D. Cox

Publication date 20 March 1996

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1996.tb00264.x

zbMATH Keywords

predictionidentificationcross-validationkernel smoothingsmoothing parametertime series modelsautoregressive processasymptotic optimality

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Smoothed cross-validation
• Bandwith selection for the smoothing of distribution functions

Cites work

• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Asymptotic behaviors of some measures of accuracy in nonparametric curve estimation with dependent observations
• Comparison of two bandwidth selectors with dependent errors
• Moment bounds for mixing random variables useful in nonparametric function estimation
• Moment inequalities for mixing sequences of random variables
• Nonparametric function estimation involving time series
• Nonparametric regression estimation under mixing conditions
• Propri�t�s de convergence presque compl�te du pr�dicteur � noyau

Cited in

(15)

• Recursive regression estimators with application to nonparametric prediction
• Bandwidth selection for functional time series prediction
• Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements
• Functional estimation for time series: Uniform convergence properties
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Neural networks for bandwidth selection in local linear regression of time series
• Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting
• sequential estimation of the hgarginal density function for a strongly mixing process
• A stabilized bandwidth selection method for kernel smoothing of the periodogram.
• Sequential data-adaptive bandwidth selection by cross-validation for nonparametric prediction
• The application of kernel smoothing to time series data
• scientific article; zbMATH DE number 2060190 (Why is no real title available?)
• Nonparametric estimation of structural change points in volatility models for time series
• Predictive inference for locally stationary time series with an application to climate data
• The local bootstrap for Markov processes

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