Choice of bandwidth for kernel regression when residuals are correlated

SUMMARY Standard techniques for selecting the bandwidth of a kernel estimator from the data in a nonparametric regression model perform badly when the errors are correlated. In this paper we propose a modified version of an existing plug-in bandwidth selector. The method is generalized to stationary error variables by estimating a functional of the residual covariance function. The proposed bandwidth selector shows good properties in asymptotic theory and in simulations without assuming a parametric model for the error process.

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