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Fast Computation and Bandwidth Selection Algorithms for Smoothing Functional Time Series

Author

Listed:
  • Bastian Schäfer

    (Paderborn University)

  • Yuanhua Feng

    (Paderborn University)

Abstract

This paper examines data-driven estimation of the mean surface in nonparamet- ric regression for huge functional time series. In this framework, we consider the use of the double conditional smoothing (DCS), an equivalent but much faster translation of the 2D-kernel regression. An even faster, but again equivalent func- tional DCS (FCDS) scheme and a boundary correction method for the DCS/FCDS is proposed. The asymptotically optimal bandwidths are obtained and selected by an IPI (iterative plug-in) algorithm. We show that the IPI algorithm works well in practice in a simulation study and apply the proposals to estimate the spot-volatility and trading volume surface in high-frequency nancial data under a functional representation. Our proposals also apply to large lattice spatial or spatial-temporal data from any research area.

Suggested Citation

  • Bastian Schäfer & Yuanhua Feng, 2021. "Fast Computation and Bandwidth Selection Algorithms for Smoothing Functional Time Series," Working Papers CIE 143, Paderborn University, CIE Center for International Economics.
    • Handle: RePEc:pdn:ciepap:143
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    File URL: http://groups.uni-paderborn.de/wp-wiwi/RePEc/pdf/ciepap/WP143.pdf
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    Citations

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    Cited by:

    1. Bastian Schäfer, 2021. "Bandwidth selection for the Local Polynomial Double Conditional Smoothing under Spatial ARMA Errors," Working Papers CIE 146, Paderborn University, CIE Center for International Economics.

    More about this item

    Keywords

    Spatial nonparametric regression; boundary correction; functional double conditional smoothing; bandwidth selection; spot volatility surface;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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