A brief survey on the choice of parameters for: “Kernel density estimation for time series data”

Artur Semeyutin and O’Neill, Robert

The North American Journal of Economics and Finance, 2019, vol. 50, issue C

Abstract: This paper presents an overview of the empirical performance of some of the common methods for parameter selection in the area of enhanced dynamic kernel density and distribution estimation with exponentially declining weights. It is shown that exponential weighting delivers accurate nonparametric density and quantile evaluations, without common corrections for scale and/or location in most of the financial time series considered, provided that parameters are chosen appropriately with computationally heavy Least-Squares routines. For more time-efficient numerical optimisations and/or simple kernel adaptive estimation strategies, Least-Squares routines may be re-written with exponentially weighted binned kernel estimators. This insures equally effective parameters evaluation under the different choices of kernel functional forms, though binning strategy becomes an important component of estimations. On the other hand, it is also highlighted that if the estimations target is to mine time-varying nonparametric quantiles, kernel functional forms and bandwidths may not be necessary for these evaluations. Combining exponential weights with empirical distribution estimator provides a very similar quantile performance to the kernel enhanced estimator, while parametric specifications may provide a better extreme quantiles outlook.

Keywords: Exponential smoothing; Kernel density estimation; Binned kernel density and distribution; Generalized autoregressive score models; Probability integral transforms; Time-varying quantiles (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940818304376
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376

DOI: 10.1016/j.najef.2019.101038

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().