Combining parametric and nonparametric approaches for more efficient time series prediction
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More about this item
KeywordsARMA representation; noisy data; Nonparametric regression; optimal prediction;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-30 (All new papers)
- NEP-ECM-2009-08-30 (Econometrics)
- NEP-ETS-2009-08-30 (Econometric Time Series)
- NEP-MIC-2009-08-30 (Microeconomics)
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