A data-driven optimal decomposition of time series with trend-cyclical and seasonal components as well as the estimation of derivatives of the trend-cyclical is considered. The time series is smoothed by locally weighted regression with polynomials and trigonometric functions as local...

The problem of selecting bandwidth for nonparametric regression is investigated. The methodology used here is a double-smoothing procedure with data-driven pilot bandwidths. After giving an extension of the asymptotic result of Hardle, Hall and Marron (1992) by transfering the ideas of Jones,...

A bandwidth selector for local polynomial fitting is proposed following the bootstrap idea, which is just a double smoothing bandwidth selector with a bootstrap variance estimator, defined as the mean squared residuals of a pilot estimate. No simulated resampling is required in this context,...