scientific article; zbMATH DE number 17216

MaRDI QIDQ3973913zbMATH OpenFDO

Authors Denis Bosq

Publication date 26 June 1992

zbMATH Keywords

almost stationary processesBox- Jenkins methoddensity estimationnonparametric predictorsorthogonal series predictorsregression estimatesregression estimationseasonal fluctuationsunbounded mixing processes

Mathematics Subject Classification ID

Density estimation (62G07) Inference from stochastic processes and prediction (62M20)

Review text

[For the entire collection see Zbl 0722.00032.] A class of nonparametric predictors for unbounded mixing processes based on regression estimates, are studied. This class contains the classical convolution kernel and orthogonal series predictors. It is shown that it is not necessary to remove seasonal fluctuations before using the nonparametric prediction method. Finally, the author deals with the practical use of the method and compares it with the Box-Jenkins method.

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