Prediction in moving average processes (Q2475751)

scientific article

Language	Label	Description	Also known as
English	Prediction in moving average processes	scientific article

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instance of

scholarly article

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title

Prediction in moving average processes (English)

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Journal of Statistical Planning and Inference

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publication date

11 March 2008

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zbMATH Keywords

smoothed empirical process

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stochastic expansion

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asymptotically linear estimator

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residual-based density estimator

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conditional quantile

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conditional absolute moment

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jspi.2007.01.007

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cites work

Q5560061

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On Testing Hypotheses in the Sliding Average Scheme by the Kolmogorov–Smirnov and $\omega ^2 $ Tests

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Propri�t�s de convergence presque compl�te du pr�dicteur � noyau

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Q4855208

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Nonparametric prediction by conditional median and quantiles

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Q4207481

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Q4943491

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Weighted empirical processes in dynamic nonlinear models.

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Fitting an error distribution in some heteroscedastic time series models

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Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression

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Estimation of the distribution function of noise in stationary processes

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Nonparametric estimation of conditional probability densities and expectations of stationary processes: Strong consistency and rates

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Efficient prediction for linear and nonlinear autoregressive models

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Conditional Minimum Volume Predictive Regions for Stochastic Processes

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Set-indexed conditional empirical and quantile processes based on dependent data

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NONPARAMETRIC ESTIMATORS FOR TIME SERIES

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On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators

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Nonparametric Estimation of the Transition Distribution Function of a Markov Process

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Recursive estimation of the transition distribution function of a Markov process: Asymptotic normality

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Asymptotic normality of the recursive kernel regression estimate under dependence conditions

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Root n consistent and optimal density estimators for moving average processes

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Root-$n$ consistent density estimators of convolutions in weighted $L_{1}$-norms

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Plug-in estimators for higher-order transition densities in autoregression

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Root-$n$ consistency in weighted $L _{1}$-spaces for density estimators of invertible linear processes

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Nonparametric function estimation for time series by local average estimators

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Nonparametric function estimation involving time series

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Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences

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NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS

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Asymptotic normality for $L_1$ norm kernel estimator of conditional median under $\alpha$-mixing dependence

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Asymptotic properties for l 1 norm kernel estimator of conditional median under dependence

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Identifiers

zbMATH Open document ID

1139.62044

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DOI

10.1016/j.jspi.2007.01.007

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2475751