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Functional methods for time series prediction: a nonparametric approach

✍ Scribed by Germán Aneiros-Pérez; Ricardo Cao; Juan M. Vilar-Fernández

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
284 KB
Volume
30
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

The problem of prediction in time series using nonparametric functional techniques is considered. An extension of the local linear method to regression with functional explanatory variable is proposed. This forecasting method is compared with the functional Nadaraya–Watson method and with finite‐dimensional nonparametric predictors for several real‐time series. Prediction intervals based on the bootstrap and conditional distribution estimation for those nonparametric methods are also compared. Copyright © 2010 John Wiley & Sons, Ltd.

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