Nonparametric statistics for stochastic processes. Estimation and prediction. (Q1271097): Difference between revisions
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Latest revision as of 00:05, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Nonparametric statistics for stochastic processes. Estimation and prediction. |
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Nonparametric statistics for stochastic processes. Estimation and prediction. (English)
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4 November 1998
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[For the review of the first edition from 1996 see Zbl 0857.62081).] This edition contains some improvements and corrections, and two new chapters. Chapter 6 deals with the use of local time in density estimation. The local time furnishes an unbiased density estimator and its approximation by a kernel estimator gives new insight in the choice of bandwidth. Implementation and numerical applications to finance and economics are gathered and developed in Chapter 7.
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nonparametric prediction
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dependence structure
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coupling techniques
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inequalities
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mixing processes
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density estimation
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discrete-time processes
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uniform almost sure convergence
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asymptotic normality
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kernel estimators
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random regressors
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optimal asymptotics
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mean square error
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prediction of Markov processes
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regression functions
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continuous-time processes
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irregular paths
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superoptimality
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local time
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finance
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economics
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quadratic errors
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