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
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 99-063/4
- Klassifikation
-
Wirtschaft
- Thema
-
Schätztheorie
Regression
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
de Gooijer, Jan G.
Gannoun, Ali
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- de Gooijer, Jan G.
- Gannoun, Ali
- Tinbergen Institute
Entstanden
- 1999
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