Cross validation for locally stationary processes

DOI10.1214/18-AOS1743zbMath1433.62267arXiv1705.10046OpenAlexW2964170216WikidataQ127842254 ScholiaQ127842254MaRDI QIDQ2313282

Yanyan Li

Publication date: 18 July 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.10046

zbMATH Keywords

asymptotic optimalitycross validationadaptive bandwidth selectionlocally stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Stationary stochastic processes (60G10)

Related Items (10)

Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic ⋮ Time-varying multivariate causal processes ⋮ ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES ⋮ Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes ⋮ A perturbation analysis of Markov chains models with time-varying parameters ⋮ Predictive, finite-sample model choice for time series under stationarity and non-stationarity ⋮ Boosting high dimensional predictive regressions with time varying parameters ⋮ Local stationarity and time-inhomogeneous Markov chains ⋮ Cross validation for locally stationary processes

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