Plug-in bandwidth selector for local polynomial regression estimator with correlated errors

DOI10.1080/10485250310001622848zbMath1049.62040OpenAlexW2055864349WikidataQ57976660 ScholiaQ57976660MaRDI QIDQ4819555

Mario Francisco Fernández, Juan M. Vilar Fernández, Jean D. Opsomer

Publication date: 27 September 2004

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250310001622848

zbMATH Keywords

kernel regressiondependent datasmoothing parameter selection

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20)

Related Items (14)

A generalized correlated \(C_p\) criterion for derivative estimation with dependent errors ⋮ Unnamed Item ⋮ A Bayesian approach for nonparametric regression in the presence of correlated errors ⋮ Kernel regression for estimating regression function and its derivatives with unknown error correlations ⋮ Two tests for heterocedasticity in nonparametric regression ⋮ Bandwidth selection for kernel regression with correlated errors ⋮ Modifying the double smoothing bandwidth selector in nonparametric regression ⋮ Bandwidth selection for the local polynomial estimator under dependence: a simulation study ⋮ Classifying time series data: a nonparametric approach ⋮ Data-driven local polynomial for the trend and its derivatives in economic time series ⋮ Using bimodal kernel for inference in nonparametric regression with correlated errors ⋮ Neural networks for bandwidth selection in local linear regression of time series ⋮ On bandwidth selection problems in nonparametric trend estimation under martingale difference errors ⋮ A Simple Estimator of Error Correlation in Non-parametric Regression Models

Uses Software

• KernSmooth

Cites Work

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• Estimating error correlation in nonparametric regression
• Nonparametric regression with correlated errors.
• On bandwidth choice in nonparametric regression with both short- and long-range dependent errors
• An Effective Bandwidth Selector for Local Least Squares Regression
• Detecting Dependencies in Smooth Regression Models
• Some automated methods of smoothing time-dependent data
• Empirical-Bias Bandwidths for Local Polynomial Nonparametric Regression and Density Estimation
• LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
• Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors

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