On nonparametric prediction of linear processes

DOI10.1111/J.1467-9892.2009.00632.XMaRDI QIDQ3077668zbMATH OpenOpenAlexFDO

Authors Jan Mielniczuk, Zhou Zhou, Wei Biao Wu

Publication date 22 February 2011

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2009.00632.x

zbMATH Keywords

local linear prediction: long-range dependenceshort-range dependence: subsampling

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(10)

• Linear prediction of long-range dependent time series
• Non-linear predictors of transformed stationary processes
• PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN
• scientific article; zbMATH DE number 4157734 (Why is no real title available?)
• A note on non-parametric estimation with predicted variables
• scientific article; zbMATH DE number 152120 (Why is no real title available?)
• On a nonlinear prediction problem for one-dimensional stochastic processes
• Group Actions on Linear Predictors for Nonstationary Processes
• Prediction in moving average processes
• Prediction of long memory processes on same-realisation

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