Nonparametric estimation of a periodic sequence in the presence of a smooth trend
In this paper, we study a nonparametric regression model including a periodic component, a smooth trend function, and a stochastic error term. We propose a procedure to estimate the unknown period and the function values of the periodic component as well as the nonparametric trend function. The theoretical part of the paper establishes the asymptotic properties of our estimators. In particular, we show that our estimator of the period is consistent. In addition, we derive the convergence rates as well as the limiting distributions of our estimators of the periodic component and the trend function. The asymptotic results are complemented with a simulation study that investigates the small sample behaviour of our procedure. Finally, we illustrate our method by applying it to a series of global temperature anomalies.
|Date of creation:||12 Sep 2012|
|Contact details of provider:|| Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE|
Phone: (+44) 020 7291 4800
Fax: (+44) 020 7323 4780
Web page: http://cemmap.ifs.org.uk
More information through EDIRC
|Order Information:|| Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kristensen, Dennis, 2009.
"Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data,"
Cambridge University Press, vol. 25(05), pages 1433-1445, October.
- Dennis Kristensen, 2008. "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers 2008-37, Department of Economics and Business Economics, Aarhus University.
- D'Andrade, Kendall, 1992. "The End of an Era," Business Ethics Quarterly, Cambridge University Press, vol. 2(03), pages 379-389, July.
- Peter Hall & Jiying Yin, 2003. "Nonparametric methods for deconvolving multiperiodic functions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(4), pages 869-886.
- Robert M. De Jong & James Davidson, 2000. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Econometrica, Econometric Society, vol. 68(2), pages 407-424, March.
- de Jong, R.M. & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Discussion Paper 1996-52, Tilburg University, Center for Economic Research.
- Peter Hall & Ming Li, 2006. "Using the periodogram to estimate period in nonparametric regression," Biometrika, Biometrika Trust, vol. 93(2), pages 411-424, June.
- Marc G. Genton & Peter Hall, 2007. "Statistical inference for evolving periodic functions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(4), pages 643-657. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ifs:cemmap:23/12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Emma Hyman)
If references are entirely missing, you can add them using this form.