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Nonparametric Trend Estimation for Periodic Autoregressive Time Series |
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| Authors: | Q Shao |
| Institution: | 1. Department of Mathematics , The University of Toledo , Toledo , Ohio , USA qin.shao@utoledo.edu |
| Abstract: | A periodically stationary time series has seasonal variances. A local linear trend estimation is proposed to accommodate unequal variances. A comparison of this proposed estimator with the estimator commonly used for a stationary time series is provided. The optimal bandwidth selection for this new trend estimator is discussed. |
| Keywords: | Bandwidth selection Kernel function Local linear estimation Mean integrated squared error Periodic autoregressive models Periodically stationary time series Time series cross-validation Time series trend |