Nonparametric prediction in time series analysis: some empirical results

被引：0

作者：

Niglio, Marcella ^{[1
]}

Perna, Cira ^{[1
]}

机构：

[1] Univ Salerno, Dept Econ & Stat, Fisciano, Italy

来源：

MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE | 2010年

关键词：

kernel predictor; estimated risk of prediction; subsampling;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper a new approach to select the lag p for time series generated from Markov processes is proposed. It is faced in the nonparametric domain and it is based on the minimisation of the estimated risk of prediction of one-step-ahead kernel predictors. The proposed procedure has been evaluated through a Monte Carlo study and in empirical context to forecast the weakly 90-day US T-bill secondary market rates.

引用

页码：235 / 244

页数：10

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