Résumé
We propose a kernel-based multi-stage conditional median predictor for
α-mixing time series of Markovian structure. Mean squared error properties of single-stage and multi-stage conditional medians are derived and discussed.
- Titre
- Mean squared error properties of the kernel-based multi-stage median predictor for time series
- Créateurs - sans rôle
- Jan G. De Gooijer - Department of Economic Statistics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The NetherlandsAli Gannoun - Laboratoire de Probabilités et Statistique, Université Montpellier II, Place Eugène Bataillon, 34095 Montpellier Cédex 5, FranceDawit Zerom - Tinbergen Institute and Department of Economic Statistics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands
- Détails de publication
- Statistics & probability letters, Vol.56(1), pp.51-56
- Éditeur
- Elsevier B.V
- Nombre de pages
- 6
- Identifiants
- 99162879709311
- Unité académique
- Institut Montpelliérain Alexander Grothendieck - IMAG
- Langue
- English
- Type de ressource
- Journal article