DATA-DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS

DOI10.1111/J.1467-9892.1992.TB00102.XMaRDI QIDQ4012946zbMATH OpenOpenAlexFDO

Authors Prabir Burman, Deborah Nolan

Publication date 27 September 1992

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1992.tb00102.x

zbMATH Keywords

\(B\)-splinesasymptotic optimalityautoregressive processcross-validationMarkov chainmartingale-like structuremodel selectionone-step predictionprediction errorsplinesstationary Markov process

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

Recommendations

• ON CROSS‐VALIDATION FOR SMOOTHING SPLINES IN THE CASE OF DEPENDENT OBSERVATIONS
• Cross-Validation of Regression Models
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• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation

Cites work

• A cross-validatory method for dependent data
• A practical guide to splines
• Additive regression and other nonparametric models
• scientific article; zbMATH DE number 3899977 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Inverses of Band Matrices and Local Convergence of Spline Projections
• Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences
• Nonparametric estimation of a regression function
• Nonparametric function estimation involving time series
• Optimal bandwidth selection in nonparametric regression function estimation
• Rate of convergence of the spline estimates for Markov chains
• Statistical predictor identification
• Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations
• The Predictive Sample Reuse Method with Applications
• Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions

Cited in

(18)

• Prediction via estimating functions
• A note on the validity of cross-validation for evaluating autoregressive time series prediction
• Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
• A survey of Bayesian predictive methods for model assessment, selection and comparison
• Prediction from partial data, renormalization, and averaging
• Greedy algorithms for prediction
• Nonparametric long term prediction of stock returns with generated bond yields
• Constructive Cross-Validation in Linear Prediction
• Automatic selection of a linear predictor through frequency domain cross-validation
• scientific article; zbMATH DE number 2033192 (Why is no real title available?)
• ON CROSS‐VALIDATION FOR SMOOTHING SPLINES IN THE CASE OF DEPENDENT OBSERVATIONS
• Order Choice in Nonlinear Autoregressive Models
• Trading signals in VIX futures
• Estimating function based cross-validation
• Hold-out estimates of prediction models for Markov processes
• Segmentation of the mean of heteroscedastic data via cross-validation
• Selecting time-series hyperparameters with the artificial jackknife
• A survey of cross-validation procedures for model selection

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