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Nonparametric density forecast based on time‐ and state‐domain

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  • João Nicolau

Abstract

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.

Suggested Citation

  • João Nicolau, 2011. "Nonparametric density forecast based on time‐ and state‐domain," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 706-720, December.
    • Handle: RePEc:jof:jforec:v:30:y:2011:i:8:p:706-720
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    File URL: http://hdl.handle.net/10.1002/for.1204
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    Cited by:

    1. Antonio Bello & Derek Bunn & Javier Reneses & Antonio Muñoz, 2016. "Parametric Density Recalibration of a Fundamental Market Model to Forecast Electricity Prices," Energies, MDPI, vol. 9(11), pages 1-15, November.

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