IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v39y2023i6p1123-1153_3.html
   My bibliography  Save this article

Adaptation For Nonparametric Estimators Of Locally Stationary Processes

Author

Listed:
  • Dahlhaus, Rainer
  • Richter, Stefan

Abstract

Two adaptive bandwidth selection methods for minimizing the mean squared error of nonparametric estimators in locally stationary processes are proposed. We investigate a cross-validation approach and a method based on contrast minimization and derive asymptotic properties of both methods. The results are applicable for different statistics under a general setting of local stationarity including nonlinear processes. At the same time, we deepen the general framework for local stationarity based on stationary approximations. For example, a general Bernstein inequality is derived for such processes. The properties of the bandwidth selection methods are also investigated in several simulation studies.

Suggested Citation

  • Dahlhaus, Rainer & Richter, Stefan, 2023. "Adaptation For Nonparametric Estimators Of Locally Stationary Processes," Econometric Theory, Cambridge University Press, vol. 39(6), pages 1123-1153, December.
    • Handle: RePEc:cup:etheor:v:39:y:2023:i:6:p:1123-1153_3
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466622000500/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Salim Bouzebda, 2024. "Limit Theorems in the Nonparametric Conditional Single-Index U -Processes for Locally Stationary Functional Random Fields under Stochastic Sampling Design," Mathematics, MDPI, vol. 12(13), pages 1-81, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:39:y:2023:i:6:p:1123-1153_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.