Aufgrund von Vorbereitungen auf eine neue Version von KOPS, können derzeit keine Publikationen eingereicht werden. (Due to preparations for a new version of KOPS, no publications can be submitted currently.)

On Local Trigonometric Regression Under Dependence

Cite This

Files in this item

Files Size Format View

There are no files associated with this item.

BERAN, Jan, Britta STEFFENS, Sucharita GHOSH, 2018. On Local Trigonometric Regression Under Dependence. In: Journal of Time Series Analysis. 39(4), pp. 592-617. ISSN 0143-9782. eISSN 1467-9892. Available under: doi: 10.1111/jtsa.12287

@article{Beran2018-07Local-42663, title={On Local Trigonometric Regression Under Dependence}, year={2018}, doi={10.1111/jtsa.12287}, number={4}, volume={39}, issn={0143-9782}, journal={Journal of Time Series Analysis}, pages={592--617}, author={Beran, Jan and Steffens, Britta and Ghosh, Sucharita} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:available rdf:datatype="">2018-06-22T11:51:44Z</dcterms:available> <dcterms:issued>2018-07</dcterms:issued> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:contributor>Beran, Jan</dc:contributor> <dc:contributor>Ghosh, Sucharita</dc:contributor> <bibo:uri rdf:resource=""/> <dc:contributor>Steffens, Britta</dc:contributor> <dspace:isPartOfCollection rdf:resource=""/> <dcterms:isPartOf rdf:resource=""/> <dc:creator>Steffens, Britta</dc:creator> <dcterms:abstract xml:lang="eng">We consider nonparametric estimation of an additive time series decomposition into a long‐term trend μ and a smoothly changing seasonal component S under general assumptions on the dependence structure of the residual process. The rate of convergence of local trigonometric regression estimators of S turns out to be unaffected by the dependence, even though the spectral density of the residual process has a pole at the origin. In contrast, the rate of convergence of nonparametric estimators of μ depends on the long‐memory parameter d. Therefore, in the presence of long‐range dependence, different bandwidths for estimating μ and S should be used. A data adaptive algorithm for optimal bandwidth choice is proposed. Simulations and data examples illustrate the results.</dcterms:abstract> <dc:creator>Beran, Jan</dc:creator> <dc:date rdf:datatype="">2018-06-22T11:51:44Z</dc:date> <dc:language>eng</dc:language> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:creator>Ghosh, Sucharita</dc:creator> <dcterms:title>On Local Trigonometric Regression Under Dependence</dcterms:title> </rdf:Description> </rdf:RDF>

This item appears in the following Collection(s)

Search KOPS


My Account