Mean squared error properties of the kernel-based multi-stage median predictor for time series

被引：5

作者：

De Gooijer, JG

Gannoun, A

Zerom, D

机构：

[1] Univ Amsterdam, Dept Econ Stat, NL-1018 WB Amsterdam, Netherlands

[2] Univ Montpellier 2, Lab Probabil & Stat, F-34095 Montpellier 5, France

[3] Univ Amsterdam, Tinbergen Inst, NL-1018 WB Amsterdam, Netherlands

来源：

STATISTICS & PROBABILITY LETTERS | 2002年 / 56卷 / 01期

关键词：

alpha-mixing; conditional median; kernel; Markovian; mean squared error; multi-stage predictor; single-stage predictor; time series;

D O I：

10.1016/S0167-7152(01)00169-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We propose a kernel-based multi-stage conditional median predictor for a-mixing time series of Markovian structure. Mean squared error properties of single-stage and multi-stage conditional medians are derived and discussed. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：51 / 56

页数：6

共 15 条

[1]

[Anonymous], 1980, Approximations Theorems of Mathematical Statistics

[2] Asymptotic normality of convergent estimates of conditional quantiles [J].