Prediction in invertible linear processes

DOI10.1016/J.SPL.2007.03.018MaRDI QIDQ2643044zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4128239 (Why is no real title available?)
• Asymptotic normality of the recursive kernel regression estimate under dependence conditions
• Efficient prediction for linear and nonlinear autoregressive models
• Kernel density estimation for linear processes
• NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences
• Nonparametric Estimation of the Transition Distribution Function of a Markov Process
• Nonparametric estimation of conditional probability densities and expectations of stationary processes: Strong consistency and rates
• Nonparametric function estimation involving time series
• On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators
• Plug-in estimators for higher-order transition densities in autoregression
• Prediction in moving average processes
• Recursive estimation of the transition distribution function of a Markov process: Asymptotic normality
• Root-\(n\) consistent density estimators of convolutions in weighted \(L_{1}\)-norms

Cited in

(6)

• Some developments in semiparametric statistics
• scientific article; zbMATH DE number 1894265 (Why is no real title available?)
• 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
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