On the excess of average squared error for data-driven bandwidths in nonparametric trend estimation

DOI10.21494/iste.op.2021.0696MaRDI QIDQ6177225

Didier A. Girard, Karim Benhenni, Sana Louhichi

Publication date: 31 August 2023

Published in: Advances in Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21494/iste.op.2021.0696

zbMATH Keywords

generalized cross validation; Mallows criterion; cross validation; smoothing parameter selection; average squared error; kernel nonparametric models; mean average squared error; nonparametric trend estimation; SV models; excess of average squared error

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G20: Asymptotic properties of nonparametric inference

60G10: Stationary stochastic processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bandwidth choice for nonparametric regression
• Basic properties of strong mixing conditions. A survey and some open questions
• Some mixing properties of time series models
• Extent to which least-squares cross-validation minimises integrated square error in nonparametric density estimation
• The invariance principle for associated processes
• Renewal theory for functionals of a Markov chain with general state space
• A short note on optimal bandwidth selection for kernel estimators
• Mixing: Properties and examples
• A new weak dependence condition and applications to moment inequalities
• Asymptotic comparison of (partial) cross-validation, GCV and randomized GCV in nonparametric regression
• On bandwidth choice in nonparametric regression with both short- and long-range dependent errors
• An Effective Bandwidth Selector for Local Least Squares Regression
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• A maximal 𝕃_{𝕡}-inequality for stationary sequences and its applications
• Probabilistic Properties of Stochastic Volatility Models
• How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
• First-order autoregressive gamma sequences and point processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Estimating the accuracy of (local) cross-validation via randomised GCV choices in kernel or smoothing spline regression
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Association of Random Variables, with Applications