Prediction of 0-1-events for short- and long-memory time series

Jan Beran

No 02/11, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: The problem of predicting 0-1-events is considered under general conditions, including stationary processes with short and long memory as well as processes with changing distribution patterns. Nonparametric estimates of the probability function and prediction intervals are obtained.

Keywords: 0-1-events; long-range dependence; short-range dependence; antipersistence; kernel smoothing; bandwidth; prediction (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0211

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