Combining nonparametric and optimal linear time series predictions

DOI10.1198/JASA.2010.TM09549MaRDI QIDQ5255694zbMATH OpenOpenAlexFDO

Authors Sophie Dabo-Niang, Jean-Michel Zakoïan, C. Francq

Publication date 17 June 2015

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL http://crest.science/RePEc/wpstorage/2009-18.pdf

zbMATH Keywords

ARMAnoisy datanonparametric regressionoptimal prediction

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(4)

• Forecasting in nonlinear univariate time series using penalized splines
• Nonparametric sequential prediction of time series
• On the predictive content of autoregression residuals: a semiparametric, copula-based approach to time series prediction
• A flexible semiparametric forecasting model for time series

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