Nonparametric multistep-ahead prediction in time series analysis

Journal article

Rong Chen, Lijian Yang and Christian Hafner

Journal of the Royal Statistical Society. Series B, Statistical methodology, Vol.66(3), pp.669-686

Received November 1999. Final revision December 2003

08/2004

Abstract

Improvement ratio

Local polynomial

Multistage smoothing

Optimal bandwidth

Sunspot series

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Title: Nonparametric multistep-ahead prediction in time series analysis
Creators: Rong Chen - University of Illinois at Chicago
Lijian Yang - Michigan State University
Christian Hafner - Erasmus University Rotterdam
Publication Details: Journal of the Royal Statistical Society. Series B, Statistical methodology, Vol.66(3), pp.669-686
Date published: 08/2004
Publisher: Blackwell Publishing
Edition: Received November 1999. Final revision December 2003
Number of pages: 18
Academic Unit: Statistics (SAS)
Language: English
Resource Type: Journal article
Identifiers: 991031758998904646