School Seminars and Colloquia

Nonparametric regression with correlated errors

Statistics Seminar

by Kris De Brabanter

Institution: Katholieke Universiteit Leuven
Date: Tue 26th June 2012
Time: 1:00 PM
Location: Room 213, Richard Berry Building, University of Melbourne

Abstract: It is a well-known problem that obtaining a correct bandwidth and/or smoothing parameter in nonparametric regression is difficult in the presence of correlated errors. There exist a wide variety of methods coping with this problem, but they all critically depend on a tuning procedure which requires accurate information about the correlation structure. We propose a bandwidth selection procedure based on bimodal kernels which successfully removes the correlation without requiring any prior knowledge about its structure and its parameters. Further, we show that the form of the kernel is very important when errors are correlated which is in contrast to the independent and identically distributed (i.i.d.) case.

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