A simulation study of bandwidth selection methods for non-parametric regression with long and semi-long range dependent errors

Date
2021-01-01
Authors
Zhou, Zirou
Major Professor
Kris De Brabanter
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Altmetrics
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Research Projects
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Statistics
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Statistics
Abstract

The sample size and memory parameter affect the bandwidth and rate of convergence, with long, semi-long, and short memory processes. Provide simulation results, and explanations for our conjectures:1 The convergence of TLP with SRD does not depend on parameters.2 The order of the optimized bandwidth with LRD has a relationship with memory parameters.3 The order of the bandwidth with SLRD keep close to -1/5 is seemingly independent of parameters.

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