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

DOI10.1016/S0167-7152(01)00169-9MaRDI QIDQ1612971zbMATH OpenFDO

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

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3658755 (Why is no real title available?)
• scientific article; zbMATH DE number 932624 (Why is no real title available?)
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
• Asymptotic normality of convergent estimates of conditional quantiles
• Mean squared error properties of kernel estimates of regression quantiles
• Moment inequalities for mixing sequences of random variables
• Non-parametric estimation of conditional quantiles
• Nonparametric forecasting: a comparison of three kernel-based methods
• Recursive estimation of the transition distribution function of a Markov process: Asymptotic normality
• Some mixing properties of time series models

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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