Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/85159 
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper No. 00/16
Publisher: 
University of Konstanz, Center of Finance and Econometrics (CoFE), Konstanz
Abstract: 
In this paper data-driven algorithms for fitting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparametric trend and maximum likelihood estimation of the parameters. For selecting the bandwidth, the proposal of Beran and Feng (1999) based on the iterative plug-in idea (Gasser et al., 1991) is used. Asymptotic properties of the proposed algorithms are investigated. A large simulation study illustrates the practical performance of the methods.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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