Non‐parametric vs parametric forecasting in time series: A computational point of view

M. Carbon and M. Delecroix

Applied Stochastic Models and Data Analysis, 1993, vol. 9, issue 3, 215-229

Abstract: The finite sample behaviour of non‐parametric predictors is considered for time series. Among other results, it is shown by simulation arguments that such predictors compare favourably with predictors based on parametric models in the spirit of the usual Box‐Jenkins approach.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:9:y:1993:i:3:p:215-229

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