Weakly universally consistent static forecasting of stationary and ergodic time series via local averaging and least squares estimates

Autor: Daniel Jones, Michael Kohler, Tina Felber, Harro Walk
Rok vydání: 2013
Předmět:
Zdroj: Journal of Statistical Planning and Inference. 143:1689-1707
ISSN: 0378-3758
Popis: Given a stationary and ergodic time series the problem of estimating the conditional expectation of the dependent variable at time zero given the infinite past is considered. It is shown that the mean squared error of a combination of suitably defined local averaging or least squares estimates converges to zero for all distributions whenever the dependent variable is square integrable.
Databáze: OpenAIRE