Prediction in invertible linear processes

DOI10.1016/J.SPL.2007.03.018zbMATH Open1115.62082OpenAlexW2012184901MaRDI QIDQ2643044FDOQ2643044

Authors: 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

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zbMATH Keywords

stochastic expansionvon Mises statisticinfinite-order autoregressive processinfinite-order moving average processkernel smoothed empirical processresidual-based kernel density estimator

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

• Title not available (Why is that?)
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Nonparametric Estimation of the Transition Distribution Function of a Markov Process
• Asymptotic normality of the recursive kernel regression estimate under dependence conditions
• Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences
• Nonparametric function estimation involving time series
• Root-\(n\) consistent density estimators of convolutions in weighted \(L_{1}\)-norms
• Kernel density estimation for linear processes
• On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators
• Nonparametric estimation of conditional probability densities and expectations of stationary processes: Strong consistency and rates
• NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS
• Prediction in moving average processes
• Efficient prediction for linear and nonlinear autoregressive models
• Recursive estimation of the transition distribution function of a Markov process: Asymptotic normality
• Plug-in estimators for higher-order transition densities in autoregression

Cited In (6)

• Title not available (Why is that?)
• Some developments in semiparametric statistics
• Improved estimators for constrained Markov chain models
• Forecasting with imperfect models, dynamically constrained inverse problems, and gradient descent algorithms
• Rough Sets, Fuzzy Sets, Data Mining, and Granular Computing
• Prediction in moving average processes

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