BANDWIDTH SELECTION IN KERNEL SMOOTHING OF TIME SERIES

• Tae Yoon Kim

• Dennis D. Cox

抄録

Abstract. The kernel smoothing method has been considered as a useful tool for identification and prediction in time series models. In practice this method is to be tuned by a smoothing parameter. For selection of the smoothing parameter, Härdle and Vieu (Kernel regression smoothing of time series. J. Time Ser. Anal. 13(1992), 209–32) considered a cross‐validation rule and proved its asymptotic optimality. In this paper we strengthen their result for a wider use of the kernel smoothing of time series.

収録刊行物

• Journal of Time Series Analysis

  Journal of Time Series Analysis 17 (1), 49-63, 1996-01

  Wiley

キーワード

• Applied Mathematics
• Statistics, Probability and Uncertainty
• Statistics and Probability

詳細情報

• CRID: 1360018298136206976
• NII論文ID: 30037150564
• DOI: 10.1111/j.1467-9892.1996.tb00264.x
• ISSN: 14679892
• ISSN: 01439782
• Web Site: https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2Fj.1467-9892.1996.tb00264.x
• Web Site: https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1467-9892.1996.tb00264.x
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