Cross validation for locally stationary processes

The Annals of Statistics · 2019 · Volume 47 · Issue 4

Abstract

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.

Keywords

62G20, 62M10, adaptive bandwidth selection, asymptotic optimality, Cross validation, Locally stationary processes

Enable JavaScript for citation tools and additional paper interactions.