Nonparametric prediction in time series analysis: some empirical results

MaRDI QIDQ4593694zbMATH OpenFDO

Authors Marcella Niglio, Cira Perna

Publication date 22 November 2017

zbMATH Keywords

subsamplingtime series analysisnonparametric predictionkernel predictorestimated risk of prediction

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(4)

• Jfon parametric time series analysis and prediction: uniform almost sure convergence of the window and jt-nn autoregression estimates
• Nonparametric Forecasting in Time Series - A Comparative Study
• Nonparametric Multistep-Ahead Prediction in Time Series Analysis
• Compression-Based Methods for Nonparametric Prediction and Estimation of Some Characteristics of Time Series

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