Mean squared error properties of the kernel-based multi-stage median predictor for time series
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Publication:1612971
DOI10.1016/S0167-7152(01)00169-9zbMath0992.62091MaRDI QIDQ1612971
Ali Gannoun, Dawit Zerom, Jan G. De Gooijer
Publication date: 5 September 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
alpha-mixingmean squared errortime serieskernelMarkovianconditional medianmulti-stage predictorsingle-stage predictor
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
- Mean squared error properties of kernel estimates of regression quantiles
- Some mixing properties of time series models
- Non-parametric estimation of conditional quantiles
- Recursive estimation of the transition distribution function of a Markov process: Asymptotic normality
- Asymptotic normality of convergent estimates of conditional quantiles
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- Moment inequalities for mixing sequences of random variables
- Nonparametric forecasting: a comparison of three kernel-based methods
- Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
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