Bandwidth parameter estimation
In a particular empirical process setting, estimates the
bandwidth parameter controlling the serial dependence when
generating dependent multiplier sequences using the 'moving average
approach'; see Section 5 of the third reference. This
function is called in the functions
b is set to
a data matrix whose rows are continuous observations.
a string specifying the kernel for creating the weights used in the generation of dependent multiplier sequences within the 'moving average approach'; see Section 5 of the third reference.
a strictly positive integer specifying the number of points of the
uniform grid on (0,1)^d (where d is
a string specifying how the parameter
The implemented approach results from an adaptation of the procedure described in the first two references (see also the references therein). The use of this function in a context different from that considered in the third reference may not be meaningful.
Acknowledgment: Part of the code of the function results from an adaptation of R code of C. Parmeter and J. Racine, itself an adaptation of Matlab code by A. Patton.
A strictly positive integer.
D.N. Politis and H. White (2004), Automatic block-length selection for the dependent bootstrap, Econometric Reviews 23(1):53–70.
D.N. Politis, H. White and A.J. Patton (2004), Correction: Automatic block-length selection for the dependent bootstrap, Econometric Reviews 28(4):372-375.
A. Bücher and I. Kojadinovic (2014), A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing, Bernoulli, in press, http://arxiv.org/abs/1306.3930.