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An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series

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  • Feng, Yuanhua

Abstract

This paper focuses on developing a new data-driven procedure for decomposing seasonal time series based on local regression. Formula of the asymptotic optimal bandwidth hA in the current context is given. Methods for estimating the unknowns in hA are investigated. A data-driven algorithm for decomposing seasonal time series is proposed based on the iterative plug-in idea introduced by Gasser et al. (1991). Asymptotic behaviour of this algorithm is investigated. Some computational aspects are discussed in detail. Practical performance of the proposed algorithm is illustrated by simulated and data examples. The results here also provide some insights into the iterative plug-in idea.

Suggested Citation

  • Feng, Yuanhua, 2002. "An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series," CoFE Discussion Papers 02/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
    • Handle: RePEc:zbw:cofedp:0204
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    References listed on IDEAS

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    1. Beran, Jan, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Papers 99/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 291-311, June.
    3. Beran, Jan & Feng, Yuanhua & Heiler, Siegfried, 2000. "Modifying the double smoothing bandwidth selector in nonparametric regression," CoFE Discussion Papers 00/37, University of Konstanz, Center of Finance and Econometrics (CoFE).
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    Cited by:

    1. Feng, Yuanhua, 2004. "Simultaneously Modeling Conditional Heteroskedasticity And Scale Change," Econometric Theory, Cambridge University Press, vol. 20(3), pages 563-596, June.
    2. Beran, Jan & Feng, Yuanhua, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 02/13, University of Konstanz, Center of Finance and Econometrics (CoFE).

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