Bandwidth selection for kernel estimate with correlated noise

Shean-Tsong Chiu

Statistics & Probability Letters, 1989, vol. 8, issue 4, 347-354

Abstract: The problem of selecting the bandwidth for the kernel estimate is considered. It is shown that Mallows' criterion does not select a proper bandwidth when the noise are correlated. A simple modification of Mallows' criterion is suggested, which significantly improves the performance of the kernel estimate. Since the modified criterion needs an estimate for the noise spectrum at frequency zero, an estimation procedure for the parameter of the noise spectrum is proposed. Under some regularity conditions, it is shown that the procedure gives strongly consistent estimates. The asymptotic distribution of the estimate is also given.

Keywords: bandwidth; selection; kernel; estimate; periodogram; trend; time; series; weighted; least; squares; estimation (search for similar items in EconPapers)
Date: 1989
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(89)90043-6
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:stapro:v:8:y:1989:i:4:p:347-354

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().