Cross validation for locally stationary processes
We propose an adaptive bandwidth selector via cross validation for local M-estimators in locally stationary processes. We prove asymptotic optimality of the procedure under mild conditions on the underlying parameter curves. The results are applicable to a wide range of locally stationary processes...
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| Main Authors: | , |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
22 May 2019
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| In: |
The annals of statistics
Year: 2019, Volume: 47, Issue: 4, Pages: 2145-2173 |
| ISSN: | 2168-8966 |
| DOI: | 10.1214/18-AOS1743 |
| Online Access: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1214%2F18-AOS1743
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| Author Notes: | by Stefan Richter and Rainer Dahlhaus |
| Summary: | We propose an adaptive bandwidth selector via cross validation for local M-estimators in locally stationary processes. We prove asymptotic optimality of the procedure under mild conditions on the underlying parameter curves. The results are applicable to a wide range of locally stationary processes such linear and nonlinear processes. A simulation study shows that the method works fairly well also in misspecified situations. |
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| Item Description: | Gesehen am 30.03.2020 |
| Physical Description: | Online Resource |
| ISSN: | 2168-8966 |
| DOI: | 10.1214/18-AOS1743 |