Prediction in invertible linear processes

DOI10.1016/j.spl.2007.03.018zbMath1115.62082MaRDI QIDQ2643044

Anton Schick, Wolfgang Wefelmeyer

Publication date: 23 August 2007

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.03.018

zbMATH Keywords

stochastic expansion; von Mises statistic; infinite-order autoregressive process; infinite-order moving average process; kernel smoothed empirical process; residual-based kernel density estimator

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

Related Items

Improved estimators for constrained Markov chain models, Some developments in semiparametric statistics

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