Mean squared error properties of the kernel-based multi-stage median predictor for time series

Jan G. Gooijer, Ali Gannoun and Dawit Zerom ()

Statistics & Probability Letters, 2002, vol. 56, issue 1, 51-56

Abstract: We propose a kernel-based multi-stage conditional median predictor for [alpha]-mixing time series of Markovian structure. Mean squared error properties of single-stage and multi-stage conditional medians are derived and discussed.

Keywords: [alpha]-mixing; Conditional; median; Kernel; Markovian; Mean; squared; error; Multi-stage; predictor; Single-stage; predictor; Time; series (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (3)

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