Mean squared error properties of the kernel-based multi-stage median predictor for time series

DOI10.1016/S0167-7152(01)00169-9zbMATH Open0992.62091MaRDI QIDQ1612971FDOQ1612971

Authors: Jan G. De Gooijer, Ali Gannoun, Dawit Zerom 

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

time serieskernelmean squared errorconditional medianMarkovianalpha-mixingmulti-stage predictorsingle-stage predictor

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

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• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Some mixing properties of time series models
• Non-parametric estimation of conditional quantiles
• Asymptotic normality of convergent estimates of conditional quantiles
• Moment inequalities for mixing sequences of random variables
• Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
• Mean squared error properties of kernel estimates of regression quantiles
• Recursive estimation of the transition distribution function of a Markov process: Asymptotic normality
• Nonparametric forecasting: a comparison of three kernel-based methods
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Cited In (3)

• Modelling functional additive quantile regression using support vector machines approach
• Semiparametric quantile modelling of hierarchical data
• MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES

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