Double smoothing local linear estimation in nonlinear time series

We generalize the double smoothing local linear regression method to nonparametric regression of time series. Under a strong mixing condition for the dependence of the time series, we show that after another round of smoothing based on the local linear regression estimates, the double smoothing local linear estimate will have reduced asymptotic bias, while keeping the variance at the same asymptotic order. The asymptotic bias reduces from the order of h(2) for the local linear estimates to h(4) for the double smoothing local linear estimates, where h is the bandwidth. Hence the double smoothing local linear method produces more optimal estimates in terms of mean squared error. Simulation studies and real time series data analysis confirm the advantages of the double smoothing method compared to the local linear method.