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Bandwidth selection for the Local Polynomial Double Conditional Smoothing under Spatial ARMA Errors

Author

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  • Bastian Schäfer

    (Paderborn University)

Abstract

Nonparametric estimation of the mean surface of spatial data usually depends on a bivariate regressor, which is an ineffective estimation method for large data sets. The Double Conditional Smoothing (DCS) increases computational efficiency by reducing the regression problem to one dimension. We apply the DCS scheme to two-dimensional functional or spatial time series and use local polynomial regression for estimation of the regression surface and its derivatives. Asymptotic formulas for expectation and variance are given and formulas for the asymptotic optimal bandwidth derived. We propose a iterative plug-in algorithm for estimation of these optimal bandwidths under dependent errors. Spatial ARMA processes are used to model the error sequece parametrically and some estimation procedures for spatial ARMA processes are suggested. The proposed methods are assessed via a simulation study and applied to high-freqency financial data.

Suggested Citation

  • Bastian Schäfer, 2021. "Bandwidth selection for the Local Polynomial Double Conditional Smoothing under Spatial ARMA Errors," Working Papers CIE 146, Paderborn University, CIE Center for International Economics.
    • Handle: RePEc:pdn:ciepap:146
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    References listed on IDEAS

    as
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    Keywords

    Semiparametric regression; functional double conditional smoothing; bandwidth selection; iterative plug-in; dependent errors;
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