Nonparametric conditional predictive regions for time series

DOI10.1016/S0167-9473(99)00056-0zbMath0990.62083OpenAlexW2067519052MaRDI QIDQ1575208

Jan G. De Gooijer, Ali Gannoun

Publication date: 21 August 2000

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(99)00056-0

zbMATH Keywords

cross-validationkernel methodsconditional modeconditional meanMarkovian processesconditional mediannonparametric predictionmaximum conditional density region (MCDR)shortest conditional modal interval (SCMI)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08)

Related Items (12)

Data-driven \(k\)NN estimation in nonparametric functional data analysis ⋮ MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES ⋮ Nonparametric Estimation and Symmetry Tests for Conditional Density Functions ⋮ A simple test for multivariate conditional symmetry ⋮ FDA: theoretical and practical efficiency of the local linear estimation based on the kNN smoothing of the conditional distribution when there are missing data ⋮ Semiparametric model average prediction in panel data analysis ⋮ Distribution-Free Runs Test for Conditional Symmetry ⋮ A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties ⋮ On the local linear modelization of the conditional distribution for functional data ⋮ Complexity-penalized estimation of minimum volume sets for dependent data ⋮ Conditional hazard estimate for functional random fields ⋮ Kernel Conditional Density Estimation When the Regressor is Valued in a Semi-Metric Space

Cites Work

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• [https://portal.mardi4nfdi.de/wiki/Publication:3038407 Propri�t�s de convergence presque compl�te du pr�dicteur � noyau]
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• Moment inequalities for mixing sequences of random variables
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Design-adaptive Nonparametric Regression
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• Normalité asymptotique d'estimateurs convergents du mode conditionnel
• Nonparametric Estimation of the Transition Distribution Function of a Markov Process
• Results on Nonparametric Modal Intervals
• On prediction and chaos in stochastic systems
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