Nonparametric Multistep-Ahead Prediction in Time Series Analysis

DOI10.1111/J.1467-9868.2004.04664.XMaRDI QIDQ4819022zbMATH OpenOpenAlexWikidataFDO

Authors Rong Chen, Christian M. Hafner, L. Yang

Publication date 24 September 2004

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9868.2004.04664.x

zbMATH Keywords

local polynomialoptimal bandwidthsunspot seriesimprovement ratiomultistage smoothing

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Incorporating extra information in nonparametric smoothing
• Mixing Conditions for Markov Chains
• Multivariate Bandwidth Selection for Local Linear Regression
• Nonparametric lag selection for time series models
• Nonparametric vector autoregression
• Statistical estimation in varying coefficient models

Cited in

(17)

• scientific article; zbMATH DE number 5669889 (Why is no real title available?)
• Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
• Spline estimation of partially linear regression models for time series with correlated errors
• Penalized spline estimation for functional coefficient regression models
• Multistep-ahead independent prediction of nonlinear time series based on an independent model
• Toward optimal multistep forecasts in non-stationary autoregressions
• Nonparametric volatility prediction
• Bootstrap prediction inference of nonlinear autoregressive models
• Simulation error minimization identification based on multi-stage prediction
• Single-index coefficient models for nonlinear time series
• Multistep prediction in autoregressive processes
• A new direct approach of computing multi-step ahead predictions for non-linear models
• Optimal multistep VAR forecast averaging
• A review of k-step-ahead predictors
• scientific article; zbMATH DE number 932624 (Why is no real title available?)
• Feature matching in time series modeling
• Estimation of nonlinear autoregressive models using design-adapted wavelets

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