Activity Number:
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82
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Type:
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Contributed
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Date/Time:
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Sunday, July 31, 2016 : 4:00 PM to 5:50 PM
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Sponsor:
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IMS
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Abstract #318654
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View Presentation
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Title:
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Estimation of Smooth Seasonal Components Under Long-Range Dependence
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Author(s):
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Britta Steffens* and Jan Beran
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Companies:
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University of Konstanz and University of Konstanz
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Keywords:
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long memory ;
smooth seasonal components ;
locally weighted trigonometric regression ;
asymptotic optimal bandwidth
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Abstract:
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We consider estimation of smooth seasonal components for long-memory processes. Asymptotic results are derived for locally weighted trigonometric regression. We present an asymptotic formula for the integrated mean squared error and for an optimal bandwidth. Examples and simulations illustrate the results.
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Authors who are presenting talks have a * after their name.