Mean squared error properties of the kernel-based multi-stage median predictor for time series
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References listed on IDEAS
- Roussas, George G., 1991. "Recursive estimation of the transition distribution function of a Markov process: A symptotic normality," Statistics & Probability Letters, Elsevier, vol. 11(5), pages 435-447, May.
- Samanta, M., 1989. "Non-parametric estimation of conditional quantiles," Statistics & Probability Letters, Elsevier, vol. 7(5), pages 407-412, April.
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- Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004.
"Forecasting economic and financial time-series with non-linear models,"
International Journal of Forecasting,
Elsevier, vol. 20(2), pages 169-183.
- Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
More about this item
Keywords[alpha]-mixing Conditional median Kernel Markovian Mean squared error Multi-stage predictor Single-stage predictor Time series;
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