This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...

This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...

Least squares cross-validation (CV) methods are often used for automated bandwidth selection. We show that they share a common structure which has an explicit asymptotic solution. Using the framework of density estimation, we consider unbiased, biased, and smoothed CV methods. We show that, with...