BANDWIDTH SELECTION IN KERNEL SMOOTHING OF TIME SERIES

DOI10.1111/J.1467-9892.1996.TB00264.XzbMATH Open0835.62079OpenAlexW2116322238MaRDI QIDQ4870530FDOQ4870530

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

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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)

Cites Work

• Title not available (Why is that?)
• Nonparametric regression estimation under mixing conditions
• Comparison of two bandwidth selectors with dependent errors
• Propri�t�s de convergence presque compl�te du pr�dicteur � noyau
• 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
• Asymptotic behaviors of some measures of accuracy in nonparametric curve estimation with dependent observations

Cited In (15)

• Title not available (Why is that?)
• Nonparametric estimation of structural change points in volatility models for time series
• Sequential data-adaptive bandwidth selection by cross-validation for nonparametric prediction
• Predictive inference for locally stationary time series with an application to climate data
• Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting
• Bandwidth selection for functional time series prediction
• The application of kernel smoothing to time series data
• sequential estimation of the hgarginal density function for a strongly mixing process
• Functional estimation for time series: Uniform convergence properties
• The local bootstrap for Markov processes
• A stabilized bandwidth selection method for kernel smoothing of the periodogram.
• Neural networks for bandwidth selection in local linear regression of time series
• Recursive regression estimators with application to nonparametric prediction
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements

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