CROSS VALIDATION FOR LOCALLY STATIONARY PROCESSES

• 成果类型: Article
• 署名作者: Richter, Stefan; Dahlhaus, Rainer
• 署名单位: Ruprecht Karls University Heidelberg
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/18-AOS1743
• 发表日期: 2019
• 页码: 2145-2173
• 关键词: Bandwidth selection; NONSTATIONARY

摘要

We propose an adaptive bandwidth selector via cross validation for local M-estimators in locally stationary processes. We prove asymptotic optimality of the procedure under mild conditions on the underlying parameter curves. The results are applicable to a wide range of locally stationary processes such linear and nonlinear processes. A simulation study shows that the method works fairly well also in misspecified situations.