Prediction of 0-1-events for short- and long-memory time series

The problem of predicting 0-1-events is considered under general conditions, including stationary processes with short and long memory as well as processes with changing distribution patterns. Nonparametric estimates of the probability function and prediction intervals are obtained.

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Year of publication:	2002-03
Authors:	Beran, Jan
Institutions:	Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
Subject:	0-1-events \| long-range dependence \| short-range dependence \| antipersistence \| kernel smoothing \| bandwidth \| prediction

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Extent:	application/pdf
Series:	CoFE Discussion Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 02-11 12 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005357903