Prediction of 0-1-events for short- and long-memory time series
AbstractThe problem of predicting 0-1-events is considered under general conditions, including stationary processes with short and long memory as well as processes with changing distribution patterns. Nonparametric estimates of the probability function and prediction intervals are obtained.
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Bibliographic InfoPaper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 02-11.
Length: 12 pages
Date of creation: Mar 2002
Date of revision:
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- Beran, Jan & Feng, Yuanhua, 2002. "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 393-419, August.
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