The Annals of Statistics
- Ann. Statist.
- Volume 47, Number 4 (2019), 2145-2173.
Cross validation for locally stationary processes
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.
Ann. Statist., Volume 47, Number 4 (2019), 2145-2173.
Received: May 2017
Revised: February 2018
First available in Project Euclid: 22 May 2019
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 62G20: Asymptotic properties
Richter, Stefan; Dahlhaus, Rainer. Cross validation for locally stationary processes. Ann. Statist. 47 (2019), no. 4, 2145--2173. doi:10.1214/18-AOS1743. https://projecteuclid.org/euclid.aos/1558512018
- Supplement: Technical proofs. This material contains some details of the proofs in the paper as well as the proofs of the examples.