DATA-DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS

DOI10.1111/j.1467-9892.1992.tb00102.xzbMath0754.62018OpenAlexW1997479675MaRDI QIDQ4012946

Deborah Nolan, Prabir Burman

Publication date: 27 September 1992

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00102.x

zbMATH Keywords

splinesprediction errormodel selectioncross-validationMarkov chain\(B\)-splinesasymptotic optimalityautoregressive processstationary Markov processone-step predictionmartingale-like structure

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

Related Items (10)

Greedy algorithms for prediction ⋮ Nonparametric long term prediction of stock returns with generated bond yields ⋮ Trading Signals in VIX Futures ⋮ Hold-out estimates of prediction models for Markov processes ⋮ Order Choice in Nonlinear Autoregressive Models ⋮ Segmentation of the mean of heteroscedastic data via cross-validation ⋮ A survey of Bayesian predictive methods for model assessment, selection and comparison ⋮ A survey of cross-validation procedures for model selection ⋮ A note on the validity of cross-validation for evaluating autoregressive time series prediction ⋮ Consistent cross-validatory model-selection for dependent data: hv-block cross-validation

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• A cross-validatory method for dependent data
• Nonparametric estimation of a regression function

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