On the non-parametric prediction of conditionally stationary sequences

DOI10.1007/s11203-004-0383-2zbMath1079.62091OpenAlexW1975084360MaRDI QIDQ2573252

Yanyan Li

Publication date: 7 November 2005

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/4161

zbMATH Keywords

time seriesconditional expectationdata analysisconditional distribution functionnonparametric predictionGaussian ARMA(1,1) process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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Cites Work

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• Nonparametric regression estimation under mixing conditions
• On almost sure convergence of conditional empirical distribution functions
• On the almost everywhere convergence of nonparametric regression function estimates
• Nonparametric estimation of Markov transition functions
• Nonparametric regression: An up–to–date bibliography
• Nonparametric Estimation of the Transition Distribution Function of a Markov Process

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