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On nonparametric prediction of linear processes

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  • Jan Mielniczuk
  • Zhou Zhou
  • Wei Biao Wu

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.

Suggested Citation

  • Jan Mielniczuk & Zhou Zhou & Wei Biao Wu, 2009. "On nonparametric prediction of linear processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 652-673, November.
    • Handle: RePEc:bla:jtsera:v:30:y:2009:i:6:p:652-673
    DOI: 10.1111/j.1467-9892.2009.00632.x
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    References listed on IDEAS

    as
    1. Wei Biao Wu & Zhibiao Zhao, 2007. "Inference of trends in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(3), pages 391-410, June.
    2. P. M. Robinson, 1983. "Nonparametric Estimators For Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(3), pages 185-207, May.
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