Nonparametric density forecast based on time‐ and state‐domain
We propose a new nonparametric density forecast based on time- and state‐domain smoothing. We analyze some of its asymptotic properties and provide an empirical illustration. Copyright (C) 2010 John Wiley & Sons, Ltd.
Volume (Year): 30 (2011)
Issue (Month): 8 (December)
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