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
Authors:	Beran, Jan
Publisher:	Konstanz : University of Konstanz, Center of Finance and Econometrics (CoFE)
Subject:	Zeitreihenanalyse \| Prognoseverfahren \| Schätztheorie \| Theorie \| 0-1-events \| long-range dependence \| short-range dependence \| antipersistence \| kernel smoothing \| bandwidth \| prediction

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Series:	CoFE Discussion Paper ; 02/11
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	870108816 [GVK] hdl:10419/85195 [Handle] RePEc:zbw:cofedp:0211 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324060