BANDWIDTH SELECTION IN KERNEL SMOOTHING OF TIME SERIES

DOI10.1111/J.1467-9892.1996.TB00264.XMaRDI QIDQ4870530zbMATH OpenOpenAlexFDO

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

asymptotic optimalityautoregressive processcross-validationidentificationkernel smoothingpredictionsmoothing parametertime series models

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

• Asymptotic behaviors of some measures of accuracy in nonparametric curve estimation with dependent observations
• Comparison of two bandwidth selectors with dependent errors
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• 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)

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

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