Carrasco, Marine; Kotchoni, Rachidi - Centre Interuniversitaire de Recherche en Analyse des … - 2013
, this estimation procedure depends on a regularization or tuning parameter å that needs to be selected. The aim of the … the regularization parameter that relies on parametric bootstrap. We show that this procedure delivers a root T consistent … estimator of å. Moreover, the data-driven selection of the regularization parameter preserves the consistency, asymptotic …