ON NONPARAMETRIC PREDICTION OF LINEAR PROCESSES

被引：0

作者：

Mielniczuk, Jan

Zhou, Zhou ^{[1
]}

Wu, Wei Biao

机构：

[1] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2009年 / 30卷 / 06期

关键词：

Dichotomy; local linear prediction; long- and short-range dependence; linear process; subsampling; GENERALIZED CROSS-VALIDATION; REGRESSION ESTIMATION; TIME-SERIES; DENSITY-ESTIMATION; CONVERGENCE-RATES; DEPENDENT ERRORS;

D O I：

10.1111/j.1467-9892.2009.00632.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We consider nonparametric prediction problem for both short- and long-range-dependent linear processes. Asymptotic properties of local linear estimates are obtained and, for long-range-dependent processes, an interesting dichotomous phenomenon is described: the limiting distribution depends on the interplay between the strength of the dependence and the magnitude of the bandwidth. A simulation study is carried out to assess the performance of the nonparametric prediction estimator.

引用

页码：652 / 673

页数：22

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