Neural networks for bandwidth selection in local linear regression of time series

Authors:
F. Giordano;M. L. Parrella
Affiliations:
Department of Economic and Statistical Sciences, University of Salerno, 84084 Fisciano, SA, Italy;Department of Economic and Statistical Sciences, University of Salerno, 84084 Fisciano, SA, Italy
Venue:
Computational Statistics & Data Analysis
Year:
2008

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Abstract

The problem of automatic bandwidth selection in nonparametric regression is considered when a local linear estimator is used to derive nonparametrically the unknown regression function. A plug-in method for choosing the smoothing parameter based on the use of the neural networks is presented. The method applies to dependent data generating processes with nonlinear autoregressive time series representation. The consistency of the method is shown in the paper, and a simulation study is carried out to assess the empirical performance of the procedure.