Nonparametric forecasting with one-sided kernel adopting pseudo one-step ahead data

Jungwoo Kim and Joocheol Kim
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Jungwoo Kim: Yonsei University
Joocheol Kim: Yonsei University

No 2017rwp-102, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: A new nonparametric forecasting using one-sided kernel is proposed via adopting pseudo one-step ahead data. Adopting pseudo one-step data is inspired from the difference between training error and test error, which motivates us to reduce test error minimization problem to training error minimization problem. The theoretical basis and the numerical justification of the new approach are presented.

Keywords: Nonparametric methods; Time series; One-sided kernel; Local regression; Exponential smoothing (search for similar items in EconPapers)
Pages: 18pages
Date: 2017-01
New Economics Papers: this item is included in nep-ecm
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