A flexible semiparametric forecasting model for time series
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forecastingkernel estimationsemiparametric estimationmodel averagingnear epoch dependencemarginal regression
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cites work
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- A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
- A Statistical View of Some Chemometrics Regression Tools
- An Optimization Interpretation of Integration and Back-Fitting Estimators for Separable Nonparametric Models
- Asymptotic normality of kernel density estimators under dependence
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- Consistent estimation of a general nonparametric regression function in time series
- EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
- Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
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- Least Squares Model Averaging
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- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric econometrics. Theory and practice.
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- Optimal weight choice for frequentist model average estimators
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Cited in
(34)- Semiparametric model averaging prediction for dichotomous response
- Instrumental variable model average with applications in Mendelian randomization
- AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories
- Model averaging marginal regression for high dimensional conditional quantile prediction
- Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
- Mallows model averaging with effective model size in fragmentary data prediction
- Semiparametric distribution forecasting
- Forecasting cointegrated nonstationary time series with time-varying variance
- AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
- Model averaging assisted sufficient dimension reduction
- Semiparametric model average prediction in panel data analysis
- Nonparametric instrument model averaging
- Model averaging for generalized linear models in diverging model spaces with effective model size
- Model averaging estimation for generalized partially linear varying-coefficient models
- Model averaging estimation for varying-coefficient single-index models
- Martingale-residual-based greedy model averaging for high-dimensional current status data
- Model averaging for semiparametric varying coefficient quantile regression models
- A model‐averaging treatment of multiple instruments in Poisson models with errors
- Asymptotics of estimators for nonparametric multivariate regression models with long memory
- Averaging estimation for conditional covariance models
- Penalized time-varying model averaging
- Semiparametric dynamic portfolio choice with multiple conditioning variables
- Semiparametric model averaging for ultrahigh-dimensional conditional quantile prediction
- Model averaging for generalized linear models in fragmentary data prediction
- Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
- Multimodel inference based on smoothed information criteria
- Time series central subspace with covariates and its application to forecasting pine sawtimber stumpage prices in the Southern United States
- Composite quantile regression for ultra-high dimensional semiparametric model averaging
- Semiparametric model averaging method for survival probability predictions of patients
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- On the dominance of Mallows model averaging estimator over ordinary least squares estimator
- Optimal Model Averaging Based on Generalized Method of Moments
- Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
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