Economics at your fingertips  

Fast Computation and Bandwidth Selection Algorithms for Smoothing Functional Time Series*

Bastian Schäfer and Yuanhua Feng ()
Additional contact information
Bastian Schäfer: Paderborn University

No 143, Working Papers CIE from Paderborn University, CIE Center for International Economics

Abstract: This paper examines data-driven estimation of the mean surface in nonparamet- ric regression for huge functional time series. In this framework, we consider the use of the double conditional smoothing (DCS), an equivalent but much faster translation of the 2D-kernel regression. An even faster, but again equivalent func- tional DCS (FCDS) scheme and a boundary correction method for the DCS/FCDS is proposed. The asymptotically optimal bandwidths are obtained and selected by an IPI (iterative plug-in) algorithm. We show that the IPI algorithm works well in practice in a simulation study and apply the proposals to estimate the spot-volatility and trading volume surface in high-frequency nancial data under a functional representation. Our proposals also apply to large lattice spatial or spatial-temporal data from any research area.

Keywords: Spatial nonparametric regression; boundary correction; functional double conditional smoothing; bandwidth selection; spot volatility surface (search for similar items in EconPapers)
JEL-codes: C14 C51 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2021-08
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-isf, nep-mst and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link) (application/pdf)

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:

Access Statistics for this paper

More papers in Working Papers CIE from Paderborn University, CIE Center for International Economics Contact information at EDIRC.
Bibliographic data for series maintained by WP-WiWi-Info ( this e-mail address is bad, please contact ) and ().

Page updated 2024-03-15
Handle: RePEc:pdn:ciepap:143