Nonparametric Multistep-Ahead Prediction in Time Series Analysis

DOI10.1111/j.1467-9868.2004.04664.xzbMath1046.62099OpenAlexW2143453991WikidataQ61865777 ScholiaQ61865777MaRDI QIDQ4819022

Rong Chen, Christian M. Hafner, Lijian Yang

Publication date: 24 September 2004

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2004.04664.x

zbMATH Keywords

optimal bandwidthlocal polynomialsunspot seriesimprovement ratiomultistage smoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Nonparametric estimation (62G05)

Related Items (7)

Spline estimation of partially linear regression models for time series with correlated errors ⋮ Feature matching in time series modeling ⋮ Simulation error minimization identification based on multi-stage prediction ⋮ Single-index coefficient models for nonlinear time series ⋮ Penalized spline estimation for functional coefficient regression models ⋮ OPTIMAL MULTISTEP VAR FORECAST AVERAGING ⋮ Estimation of nonlinear autoregressive models using design-adapted wavelets

Cites Work

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• Nonparametric vector autoregression
• Statistical estimation in varying coefficient models
• Incorporating extra information in nonparametric smoothing
• Nonparametric Lag Selection for Time Series
• Mixing Conditions for Markov Chains
• Multivariate Bandwidth Selection for Local Linear Regression

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