Strongly consistent nonparametric forecasting and regression for stationary ergodic sequences.

DOI10.1006/jmva.1999.1825zbMath1070.62518arXiv0712.2592OpenAlexW1963499818MaRDI QIDQ1808834

Gusztáv Morvai, László Györfi, Sidney Yakowitz, John Cronan Kieffer

Publication date: 9 February 2000

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.2592

zbMATH Keywords

forecastingnonparametric estimationtime-series regressionuniversal prediction

Mathematics Subject Classification ID

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

Related Items (2)

Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors ⋮ Limits to classification and regression estimation from ergodic processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of a convex real parameter of an unknown information source
• Distribution-free pointwise consistency of kernel regression estimate
• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
• Prediction of random sequences and universal coding
• Distribution-free consistency results in nonparametric discrimination and regression function estimation
• Consistent window estimation in nonparametric regression
• Optimal rates of convergence for nonparametric estimators
• On the almost everywhere convergence of nonparametric regression function estimates
• ARCH modeling in finance. A review of the theory and empirical evidence
• Nonparametric curve estimation from time series
• Guessing the next output of a stationary process
• An equivalence theorem for \(L_ 1\) convergence of the kernel regression estimate
• Nearest neighbor regression estimation for null-recurrent Markov time series
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Correction to: Universal prediction schemes
• Nonparametric inference for ergodic, stationary time series
• Nonparametric estimation in Markov processes
• Distribution-free consistency of a nonparametric kernel regression estimate and classification
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• Compression of individual sequences via variable-rate coding
• Universal redundancy rates do not exist
• Weakly convergent nonparametric forecasting of stationary time series
• Density estimation from an individual numerical sequence
• Limits to consistent on-line forecasting for ergodic time series
• The strong law of large numbers for sequential decisions under uncertainty
• Rates of convergence of nearest neighbor estimation under arbitrary sampling
• Regression Estimation from an Individual Stable Sequence
• Nearest neighbor pattern classification

This page was built for publication: Strongly consistent nonparametric forecasting and regression for stationary ergodic sequences.