An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series
This paper focuses on developing a new data-driven procedure for decomposing seasonal time series based on local regression. Formula of the asymptotic optimal bandwidth hA in the current context is given. Methods for estimating the unknowns in hA are investigated. A data-driven algorithm for decomposing seasonal time series is proposed based on the iterative plug-in idea introduced by Gasser et al. (1991). Asymptotic behaviour of this algorithm is investigated. Some computational aspects are discussed in detail. Practical performance of the proposed algorithm is illustrated by simulated and data examples. The results here also provide some insights into the iterative plug-in idea.
|Date of creation:||Feb 2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://cofe.uni-konstanz.de
More information through EDIRC
|Order Information:|| Web: http://cofe.uni-konstanz.de Email: |
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.:
- Jan Beran, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Paper 99-16, Center of Finance and Econometrics, University of Konstanz.
- Jan Beran & Yuanhua.Feng, 2001. "Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties," CoFE Discussion Paper 01-11, Center of Finance and Econometrics, University of Konstanz.
- Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(2), pages 291-311, June.
- Jan Beran & Yuanhua Feng & Siegfried Heiler, 2000. "Modifying the double smoothing bandwidth selector in nonparametric regression," CoFE Discussion Paper 00-37, Center of Finance and Econometrics, University of Konstanz.
When requesting a correction, please mention this item's handle: RePEc:knz:cofedp:0204. 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: (Ingmar Nolte)The email address of this maintainer does not seem to be valid anymore. Please ask Ingmar Nolte to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.