On bandwidth selection problems in nonparametric trend estimation under martingale difference errors
DOI10.3150/21-BEJ1347MaRDI QIDQ2073219
Didier A. Girard, Sana Louhichi, Karim Benhenni
Publication date: 1 February 2022
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.10164
generalized cross validationMallows criterioncross validationmartingale difference sequencessmoothing parameter selectionaverage squared errorARCH(1)kernel nonparametric modelsmean average squared errornonparametric trend estimation
Linear inference, regression (62Jxx) Nonparametric inference (62Gxx) Limit theorems in probability theory (60Fxx)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bandwidth choice for nonparametric regression
- Optimal smoothing with correlated data
- Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
- Covariance inequalities for strongly mixing processes
- Weak convergence for empirical processes of associated sequences
- A new weak dependence condition and applications to moment inequalities
- Asymptotic comparison of (partial) cross-validation, GCV and randomized GCV in nonparametric regression
- Dependent central limit theorems and invariance principles
- On bandwidth choice in nonparametric regression with both short- and long-range dependent errors
- On bandwidth selection problems in nonparametric trend estimation under martingale difference errors
- Statistical predictor identification
- A maximal 𝕃_{𝕡}-inequality for stationary sequences and its applications
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
- Smoothing Spline Models with Correlated Random Errors
- An optimal selection of regression variables
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Marginal Longitudinal Nonparametric Regression
- Plug-in bandwidth selector for local polynomial regression estimator with correlated errors
- An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
- Local polynomial estimation of the mean function and its derivatives based on functional data and regular designs
- Some Comments on C P
This page was built for publication: On bandwidth selection problems in nonparametric trend estimation under martingale difference errors
