Nonparametric forecasting: a comparison of three kernel-based methods

DOI10.1080/03610929808832180MaRDI QIDQ4214004zbMATH OpenOpenAlexFDO

Authors Eric Matzner-Lœber, Ali Gannoun, Jan G. De Gooijer

Publication date 13 February 2000

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832180

zbMATH Keywords

smoothingtime seriesmeanmedianmodebandwidthconditional densitykernel method\(k\)-Markovian

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4054836 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 837911 (Why is no real title available?)
• A Look at Some Data on the Old Faithful Geyser
• A note on prediction via estimation of the conditional mode function
• Bilinear Markovian representation and bilinear models
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Mixing: Properties and examples
• Non‐parametric vs parametric forecasting in time series: A computational point of view
• Optimal global rates of convergence for nonparametric regression
• Propri�t�s de convergence presque compl�te du pr�dicteur � noyau
• Some mixing properties of time series models

Cited in

(14)

• Why preferring parametric forecasting to nonparametric methods?
• Two-stage conditional density estimation based on Bernstein polynomials
• Semiparametric model average prediction in panel data analysis
• Pattern analysis of the nonparametric kernel regression method in foreign exchange markets
• Nonparametric prediction by conditional median and quantiles
• Nonparametric conditional predictive regions for time series
• Nonparametric Forecasting in Time Series - A Comparative Study
• Kernel Analog Forecasting: Multiscale Test Problems
• A Statistical Learning Approach to Modal Regression
• MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES
• Mean squared error properties of the kernel-based multi-stage median predictor for time series
• Functional methods for time series prediction: a nonparametric approach
• Information geometry of modal linear regression
• Normalité asymptotique d'estimateurs convergents du mode conditionnel

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Uses Software

• alr3

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