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Using difference‐based methods for inference in nonparametric regression with time series errors
Author(s) -
Hall Peter,
Keilegom Ingrid Van
Publication year - 2003
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00395
Subject(s) - autoregressive model , estimator , series (stratigraphy) , nonparametric statistics , nonparametric regression , mathematics , gaussian process , inference , statistics , regression , computer science , algorithm , gaussian , artificial intelligence , paleontology , physics , quantum mechanics , biology
Summary. We show that difference‐based methods can be used to construct simple and explicit estimators of error covariance and autoregressive parameters in nonparametric regression with time series errors. When the error process is Gaussian our estimators are efficient, but they are available well beyond the Gaussian case. As an illustration of their usefulness we show that difference‐based estimators can be used to produce a simplified version of time series cross‐validation. This new approach produces a bandwidth selector that is equivalent, to both first and second orders, to that given by the full time series cross‐validation algorithm. Other applications of difference‐based methods are to variance estimation and construction of confidence bands in nonparametric regression.