Strongly consistent nonparametric forecasting and regression for stationary ergodic sequences.

DOI10.1006/JMVA.1999.1825MaRDI QIDQ1808834zbMATH OpenOpenAlexFDO

Authors S. Yakowitz, László Györfi, Gusztáv Morvai, John C. Kieffer

Publication date 9 February 2000

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.2592

zbMATH Keywords

forecastingnonparametric estimationtime-series regressionuniversal prediction

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Let $(X_i,Y_i)$ be a stationary ergodic time series with $(X,Y)$ values in the product space $$ This study offers what is believed to be the first strongly consistent (with respect to pointwise, least-squares, and uniform distance) algorithm for inferring $m(x)=E[Y_0|X_0=x]$ under the presumption that $m(x)$ is uniformly Lipschitz continuous. Auto-regression, or forecasting, is an important special case, and as such our work extends the literature of nonparametric, nonlinear forecasting by circumventing customary mixing assumptions. The work is motivated by a time series model in stochastic finance and by perspectives of its contribution to the issues of universal time series estimation.

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Cited in

(5)

• Limits to classification and regression estimation from ergodic processes
• Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
• Ergodic properties of conditional forecast functions of stable systems
• Weakly universally consistent static forecasting of stationary and ergodic time series via local averaging and least squares estimates
• Limits to consistent on-line forecasting for ergodic time series

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