Functional methods for time series prediction: a nonparametric approach

Functional methods for time series prediction: a nonparametric approach

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Article ID: iaor201112521
Volume: 30
Issue: 4
Start Page Number: 377
End Page Number: 392
Publication Date: Jul 2011
Journal: Journal of Forecasting
Authors: , ,
Keywords: model analysis, Statistics: bootstrap
Abstract:

The problem of prediction in time series using nonparametric functional techniques is considered. An extension of the local linear method to regression with functional explanatory variable is proposed. This forecasting method is compared with the functional Nadaraya–Watson method and with finite-dimensional nonparametric predictors for several real-time series. Prediction intervals based on the bootstrap and conditional distribution estimation for those nonparametric methods are also compared.

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