using a localized bandwidth in kernel density estimation in the case where the data are serially dependent. Nonetheless, a … difficult issue is how we can consistently estimate a localized bandwidth. In this paper, we propose a semiparametric estimation … localized bandwidth. …

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 …