Arbeitspapier
Nonparametric Regression with Serially Correlated Errors
Motivated by the problem of setting prediction intervals in time seriesanalysis, this investigation is concerned with recovering a regression functionm(X_t) on the basis of noisy observations taking at random design pointsX_t.It is presumed that the corresponding observations are corrupted by additiveserially correlated noise and that the noise is, in fact, induced by a generallinear process. The main result of this study is that, under some reasonableconditions, the nonparametric kernel estimator of m(x)(/i) is asymptoticallynormally distributed. Using this result, we construct confidence bands form(x).Simulations will be conducted to assess the performance of these bands infinite-sample situations
- Language
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Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 99-063/4
- Classification
-
Wirtschaft
- Subject
-
Schätztheorie
Regression
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
de Gooijer, Jan G.
Gannoun, Ali
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
1999
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- de Gooijer, Jan G.
- Gannoun, Ali
- Tinbergen Institute
Time of origin
- 1999
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