On nonparametric prediction of linear processes

Jan Mielniczuk, Zhou Zhou and Wei Biao Wu

Journal of Time Series Analysis, 2009, vol. 30, issue 6, 652-673

Abstract: Abstract. 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.

Date: 2009
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https://doi.org/10.1111/j.1467-9892.2009.00632.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:30:y:2009:i:6:p:652-673

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