Sequential data-adaptive bandwidth selection by cross-validation for nonparametric prediction

DOI10.1080/03610918.2012.625853MaRDI QIDQ4905914zbMATH OpenOpenAlexFDO

Authors Ansgar Steland

Publication date 21 February 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.6202

Mathematics Subject Classification ID

(L^p)-limit theorems (60F25) Stationary stochastic processes (60G10) Nonparametric regression and quantile regression (62G08) Sequential estimation (62L12)

Abstract: We consider the problem of bandwidth selection by cross-validation from a sequential point of view in a nonparametric regression model. Having in mind that in applications one often aims at estimation, prediction and change detection simultaneously, we investigate that approach for sequential kernel smoothers in order to base these tasks on a single statistic. We provide uniform weak laws of large numbers and weak consistency results for the cross-validated bandwidth. Extensions to weakly dependent error terms are discussed as well. The errors may be {alpha}-mixing or L2-near epoch dependent, which guarantees that the uniform convergence of the cross validation sum and the consistency of the cross-validated bandwidth hold true for a large class of time series. The method is illustrated by analyzing photovoltaic data.

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Cited in

(2)

• Cross validation for locally stationary processes
• Sequential cross-validated bandwidth selection under dependence and Anscombe-type extensions to random time horizons

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