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February 2002 Bootstrap of kernel smoothing in nonlinear time series
Jürgen Franke, Jens-Peter Kreiss, Enno Mammen
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Bernoulli 8(1): 1-37 (February 2002).

Abstract

Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. We show that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the bootstrap resample or by generating a simple regression model. Consistency of these bootstrap procedures will be shown.

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Jürgen Franke. Jens-Peter Kreiss. Enno Mammen. "Bootstrap of kernel smoothing in nonlinear time series." Bernoulli 8 (1) 1 - 37, February 2002.

Information

Published: February 2002
First available in Project Euclid: 10 March 2004

zbMATH: 1006.62038
MathSciNet: MR2002K:62112

Keywords: Bandwidth selection , bootstrap , Kernel estimates , local polynomial estimates , nonparametric heteroscedastic autoregression , nonparametric time series

Rights: Copyright © 2002 Bernoulli Society for Mathematical Statistics and Probability

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Vol.8 • No. 1 • February 2002
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