Model-free prediction of time series: a nonparametric approach

DOI10.1080/10485252.2023.2266740MaRDI QIDQ6611237

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

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

Cites Work

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• Model-free model-fitting and predictive distributions
• Nonparametric lag selection for time series models
• Foundations of time series analysis and prediction theory
• Nonparametric Forecasting in Time Series - A Comparative Study
• A new class of blased estimate in linear regression
• A Review of Nonparametric Time Series Analysis
• Prediction of α‐stable GARCH and ARMA‐GARCH‐M models
• A persistence‐based Wold‐type decomposition for stationary time series
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Prediction in Locally Stationary Time Series

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