Bandwidth selection for kernel regression with correlated errors

Abstract

In this paper, we propose bandwidth selectors for nonparametric regression with dependent errors. The methods are based on criteria that approximate the average squared error. We show that these approximations are uniform over the bandwidth sequence. The criteria involve some constants that depend on the unknown error correlations. We propose a novel way of estimating these constants. Our numerical study shows that the method is quite efficient in a variety of error models.

Keywords:

• bandwidth selection
• nonparametric regression
• correlated errors
• Mallows’ C _L
• penalized least squares