1. On nonparametric prediction of linear processes.
- Author
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MIELNICZUK, JAN, ZHOU ZHOU, and WEI BIAO WU
- Subjects
- *
LINEAR statistical models , *PARAMETER estimation , *ASYMPTOTIC distribution , *ESTIMATION theory , *BANDWIDTHS , *SIMULATION methods & models - 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. [ABSTRACT FROM AUTHOR]
- Published
- 2009
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