Prediction in invertible linear processes

Anton Schick and Wolfgang Wefelmeyer

Statistics & Probability Letters, 2007, vol. 77, issue 12, 1322-1331

Abstract: We construct root-n consistent plug-in estimators for conditional expectations of the form E(h(Xn+1,...,Xn+m)X1,...,Xn) in invertible linear processes. More specifically, we prove a Bahadur-type representation for such estimators, uniformly over certain classes of not necessarily bounded functions h. We obtain in particular a uniformly root-n consistent estimator for the m-dimensional conditional distribution function. The proof uses empirical process techniques.

Keywords: Von; Mises; statistic; Kernel; smoothed; empirical; process; Residual-based; kernel; density; estimator; Stochastic; expansion; Infinite-order; moving; average; process; Infinite-order; autoregressive; process (search for similar items in EconPapers)
Date: 2007
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