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Local block bootstrap inference for trending time series
(2013)
Resampling for stationary sequences has been well studied in the last couple of decades. In the paper at hand, we focus on nonstationary time series data where the nonstationarity is due to a slowly-changing deterministic ...
Local block bootstrap inference for trending time seriesAAA
(2013)
Resampling for stationary sequences has been well studied in the last couple of decades. In the paper at hand, we focus on nonstationary time series data where the nonstationarity is due to a slowly-changing deterministic ...
Nonparametric regression with infinite order flat-top kernels
(2004)
The problem of nonparametric regression is addressed, and a kernel smoothing estimator is proposed which has favorable asymptotic performance (bias, variance and mean squared error). The proposed class of kernels is ...
AAA Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support
(2015)
The asymptotic behaviour of nonparametric estimators of the stationary density and of the spectral density function of a stationary process have been studied in some detail in the last 50-60years. Nevertheless, less is ...
Nonlinear spectral density estimation: Thresholding the correlogramAAA
(2012)
Traditional kernel spectral density estimators are linear as a function of the sample autocovariance sequence. The purpose of this article is to propose and analyse two new spectral estimation methods that are based on the ...
Nonlinear spectral density estimation: Thresholding the correlogram
(2012)
Traditional kernel spectral density estimators are linear as a function of the sample autocovariance sequence. The purpose of this article is to propose and analyse two new spectral estimation methods that are based on the ...
Adaptive bandwidth choice
(2003)
In this paper, we consider the problem of bandwidth choice in the parallel settings of nonparametric kernel smoothed spectra] density and probability density estimation. We propose a new class of 'plug-in' type bandwidth ...