ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES
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Publication:6145541
DOI10.1017/S0266466622000500arXiv1902.10381OpenAlexW2980574948MaRDI QIDQ6145541FDOQ6145541
Authors:
Publication date: 9 January 2024
Published in: Econometric Theory (Search for Journal in Brave)
Abstract: Two adaptive bandwidth selection methods for nonparametric estimators in locally stationary processes are proposed. We investigate a cross validation approach and a method based on contrast minimization and derive asymptotic properties of both methods. The results are applicable for different statistics under a broad setting of locally stationarity including nonlinear processes. At the same time we deepen the general framework for local stationarity based on stationary approximations. For example a general Bernstein inequality is derived for such processes. A simulation study performed on the covariance function and more complicated functionals shows that both adaptation methods work well.
Full work available at URL: https://arxiv.org/abs/1902.10381
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