A robust nonparametric estimation of the autoregression function under an ergodic hypothesis
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Publication:2714932
DOI10.2307/3315918zbMath0966.62024OpenAlexW1998174055MaRDI QIDQ2714932
Publication date: 17 August 2001
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4331dea1f9b9afadaf74718c998d710d99eca67e
ergodic processeskernel estimatetime series predictionmartingale differenceautoregression functionsrobust prediction
Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Sums of independent random variables; random walks (60G50)
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