Mean squared error properties of the kernel-based multi-stage median predictor for time series
We propose a kernel-based multi-stage conditional median predictor for [alpha]-mixing time series of Markovian structure. Mean squared error properties of single-stage and multi-stage conditional medians are derived and discussed.
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Volume (Year): 56 (2002)
Issue (Month): 1 (January)
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References listed on IDEAS
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- Samanta, M., 1989. "Non-parametric estimation of conditional quantiles," Statistics & Probability Letters, Elsevier, vol. 7(5), pages 407-412, April.
- 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.