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Kernel regression smoothing of time series

Author

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  • HARDLE, W.
  • VIEU, P.

Abstract

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Suggested Citation

  • Hardle, W. & Vieu, P., 1990. "Kernel regression smoothing of time series," LIDAM Discussion Papers CORE 1990031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1990031
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    Cited by:

    1. La Rocca, Michele & Perna, Cira, 2005. "Variable selection in neural network regression models with dependent data: a subsampling approach," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 415-429, February.
    2. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
    3. Peter C.B. Phillips & Joon Y. Park, 1998. "Nonstationary Density Estimation and Kernel Autoregression," Cowles Foundation Discussion Papers 1181, Cowles Foundation for Research in Economics, Yale University.
    4. Liptser, R. & Spokoiny, Vladimir G., 1998. "On estimating a dynamic function of a stochastic system with averaging," SFB 373 Discussion Papers 1998,102, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Eric Ghysels & Valentin Patilea & Eric Renault & Olivier Torrès, 1997. "Nonparametric Methods and Option Pricing," CIRANO Working Papers 97s-19, CIRANO.
    6. Franke, Jürgen & Kreiss, Jens-Peter & Mammen, Enno, 1997. "Bootstrap of kernel smoothing in nonlinear time series," SFB 373 Discussion Papers 1997,20, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    7. del Rio, Alejandro Quintela, 1996. "Comparison of bandwidth selectors in nonparametric regression under dependence," Computational Statistics & Data Analysis, Elsevier, vol. 21(5), pages 563-580, May.
    8. Gao, Jiti & Tong, Howell, 2002. "Nonparametric and semiparametric regression model selection," MPRA Paper 11987, University Library of Munich, Germany, revised Feb 2004.

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