Adaptive bandwidth selection in the long run covariance estimator of functional time series

DOI10.1016/j.csda.2014.06.008zbMath1466.62101OpenAlexW2121851132MaRDI QIDQ1659158

Gregory Rice, Stephen Whipple, Lajos Horváth

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.06.008

zbMATH Keywords

mean squared errorfunctional dataoptimal bandwidthlong run covariance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10)

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