Adaptive bandwidth choice

By Dimitris Nicolas Politis. 2003

122 citations recorded by the source corpus.

Subfields: Computer Vision and Pattern Recognition, Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/845d1fdc970f240e69fb06f4ba8ee072ac2f4303

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Citations in the corpus

Using Mean Reversion as a Measure of Persistence (2005, unknown): “This approach was explored, for instance, by Andrews (1991) and Newey and West (1994) for the Bartlett and Quadratic Spectral kernels and by Politis (2003) for the ‡at-top lag-window.”
Nonparametric regression with infinite order flat-top kernels (2004, background): “For this reason, as discussed in the case of discontinuous density estimation in Politis (2001), it is important that the tails of K decay as quickly as possible, to minimize the effect on the interior of [0, 1].”
Testing stationarity of functional time series (2014, unknown): “Politis (2003, 2011) argues that the flat top kernel K (t) =  1, 0 ≤ t 0.1 1.1 − |t|, 0.1 ≤ t 1.1 0, |t| ≥ 1.1 (4.1) has better properties than the Bartlett or the Parzen kernels.”
TFT-bootstrap: Resampling time series in the frequency domain to obtain replicates in the time domain (2011, methodology): “Bühlmann [6], Lahiri [36] and Politis [50] give reviews of the state-of-the-art in resampling time series and dependent data.”
The Impact of Bootstrap Methods on Time Series Analysis (2003, methodology): “…remain valid if b is chosen to be an integer multiple of d; in addition, resampling/subsampling should not be done from the set {B1, B2, . . . , Bn−b+1} but rather from a set of the type {B1, Bd+1, B2d+1, . . .} i.e., full overlap of the blocks is no longer recommended—see Politis (2001a).”
A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing (2013, unknown): “observations, the multiplier bootstrap of Rémillard and Scaillet (2009) frequently appears to lead to inference procedures with the best finite-sample properties.”
Automatic Block-Length Selection for the Dependent Bootstrap (2004, unknown): “ˆ bopt,CB = bopt,CB(1 + OP ( √ log N √ N )). ( 15 )”
Self‐consistent method for density estimation (2009, methodology): “N/ and we averaged results over 2−2 c2 22 (see Politis (2003)).”
Banded and tapered estimates for autocovariance matrices and the linear process bootstrap (2010, methodology): “In this section we recall the rule introduced in Politis (2003a) for estimating the bandwidth in spectral density estimation using flat-top kernels.”
Residual‐Based Block Bootstrap for Unit Root Testing (2003, methodology): “In the particular problem of variance estimation for the sample mean this approach was considered in Politis and White (2000) where estimation of C was based on fastconverging, infinite-order smoothing kernels; see Politis (2001) for more details.”
The tapered block bootstrap for general statistics from stationary sequences (2002, unknown): “In particular, Politis and Romano (1995) suggested looking for a point, say m̂, after which the correlogram appears negligible, i.”
HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (2005, methodology): “The proof is analogous to the proof of Theorem 2.3 of Politis (2003) and is omitted.”