| Autor: |
Yakowitz, S., Gyorfi, L., Kieffer, J., Morvai, G. |
| Rok vydání: |
2007 |
| Předmět: |
|
| Zdroj: |
J. Multivariate Anal. 71 (1999), no. 1, 24--41 |
| Druh dokumentu: |
Working Paper |
| Popis: |
Let $\{(X_i,Y_i)\}$ be a stationary ergodic time series with $(X,Y)$ values in the product space $\R^d\bigotimes \R .$ This study offers what is believed to be the first strongly consistent (with respect to pointwise, least-squares, and uniform distance) algorithm for inferring $m(x)=E[Y_0|X_0=x]$ under the presumption that $m(x)$ is uniformly Lipschitz continuous. Auto-regression, or forecasting, is an important special case, and as such our work extends the literature of nonparametric, nonlinear forecasting by circumventing customary mixing assumptions. The work is motivated by a time series model in stochastic finance and by perspectives of its contribution to the issues of universal time series estimation. |
| Databáze: |
arXiv |
| Externí odkaz: |
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