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...

The local linear regression technique is applied to estimation of functional-coefficient regression models for time series data. The models include threshold autoregressive models and functional-coefficient autoregressive models as special cases but with the added advantages such as depicting...

In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...

For a distribution [mu] on the unit interval we define the associated perpetuity [Psi]([mu]) as the distribution of 1+X1+X1X2+X1X2X3+..., where (Xn)n[set membership, variant] is a sequence of independent random variables with distribution [mu]. Such quantities arise in insurance mathematics and...

In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...