A robust data-driven version of the Berlin Method

In this paper a robust data-driven procedure for decomposing seasonal time series based on a generalized Berlin Method (BV, Berliner Verfahren) as proposed by Heiler and Michels (1994) is discussed. The basic robust algorithm used here is an adaptation of the LOWESS (LOcally Weighted Scatterplot Smoothing) procedure (Cleveland, 1979). For selecting the optimal bandwidth the simple double smoothing rule (Heiler and Feng, 1999) is used. The optimal order of the local polynomial is selected with a BIC criterion. The proposed procedure is applied to the macroeconomic time series used in the recent empirical studies carried out by the German Federal Statistical Office (Speth, 1994 and Höpfner, 1998).

Modifying the double smoothing bandwidth selector in nonparametric regression

In this paper a modified double smoothing bandwidth selector, ^h MDS , based on a new criterion, which combines the plug-in and the double smoothing ideas, is proposed. A self-complete iterative double smoothing rule (^h_IDS ) is introduced as a pilot method. The asymptotic properties of both ^h_IDS and ^h_MDS are investigated. It is shown that ^ h MDS performs asymptotically very well. Moreover, it is asymptotically negatively correlated with h ASE , the minimizer of the averaged squared error. The asymptotic performances of ^h_MDS and of the iterative plug-in method, ^h_IPL (Gasser et al., 1991) are compared. A comparative simulation study is carried out to show the practical perfor- mance of ^h_MDS and related methods. It is shown that ^h_MDS seems to be the best in the practice. Finite sample negative correlations between the chosen bandwidth selectors and h ASE are also studied.

Ueberlegungen zum Vergleich von Verfahren der Komponentenzerlegung saisonabhaengiger Zeitreihen

Available from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 113 (141) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman

A bootstrap bandwidth selector for local polynomial fitting

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel W 113 (344) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Data-driven optimal decomposition of time series

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 113 (287) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman