Model-free prediction of time series: a nonparametric approach

DOI10.1080/10485252.2023.2266740MaRDI QIDQ6611237FDOQ6611237

Meng Li, Mohammad Mahdi Mohammadi

Publication date: 26 September 2024

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

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• Foundations of time series analysis and prediction theory
• A new class of blased estimate in linear regression
• Model-free model-fitting and predictive distributions
• Nonparametric lag selection for time series models
• A Review of Nonparametric Time Series Analysis
• Neural network forecasting for seasonal and trend time series
• A persistence‐based Wold‐type decomposition for stationary time series
• Nonparametric Forecasting in Time Series - A Comparative Study
• Model-free bootstrap for a general class of stationary time series
• Prediction of α‐stable GARCH and ARMA‐GARCH‐M models
• Prediction in Locally Stationary Time Series

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