Weakly universally consistent static forecasting of stationary and ergodic time series via local averaging and least squares estimates

DOI10.1016/J.JSPI.2013.06.002MaRDI QIDQ394773zbMATH OpenOpenAlexFDO

Authors Harro Walk, Tina Felber, Michael Kohler, Daniel Jones

Publication date 27 January 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2013.06.002

zbMATH Keywords

dependent datamean squared errorweak consistencystatic forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

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• Nonparametric curve estimation from time series
• Nonparametric inference for ergodic, stationary time series
• Nonparametric nearest neighbor based empirical portfolio selection strategies
• Nonparametric sequential prediction for stationary processes
• On data-based optimal stopping under stationarity and ergodicity
• Prediction of random sequences and universal coding
• Prediction, Learning, and Games
• Sequential Prediction of Unbounded Stationary Time Series
• Subadditive mean ergodic theorems
• Universal schemes for prediction, gambling and portfolio selection
• Weakly Universally Consistent Forecasting of Stationary and Ergodic Time Series
• Weakly convergent nonparametric forecasting of stationary time series

Cited in

(9)

• Weakly convergent nonparametric forecasting of stationary time series
• Strongly consistent nonparametric forecasting and regression for stationary ergodic sequences.
• On universal algorithms for classifying and predicting stationary processes
• Limits to consistent on-line forecasting for ergodic time series
• Estimating the conditional expectations for continuous time stationary processes
• scientific article; zbMATH DE number 7639721 (Why is no real title available?)
• Consistency, integrability and asymptotic normality for some intermittent estimators
• Countable alphabet stationary processes with at least one memory word and intermittent estimation with universal rates
• Intermittent estimation of stationary time series

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