Cheng, Tingting; Gao, Jiti; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2014
than using a localized bandwidth in kernel density estimation in the case where the data are dependent time series as … localized bandwidth. In this paper, we propose a semiparametric estimation method, for which we establish a completely new … asymptotic theory for the proposed semiparametric localized bandwidth estimator. Applications of the new bandwidth estimator to …