Prediction of 0-1-events for short- and long-memory time series
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- Jan Beran & Yuanhua Feng, 2002.
"Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 291-311, June.
- Beran, Jan & Feng, Yuanhua, 1999. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors," CoFE Discussion Papers 99/07, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
- Chiu, Shean-Tsong, 1989. "Bandwidth selection for kernel estimate with correlated noise," Statistics & Probability Letters, Elsevier, vol. 8(4), pages 347-354, September.
- Beran, Jan & Ocker, Dirk, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Papers 99/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
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Keywords
0-1-events; long-range dependence; short-range dependence; antipersistence; kernel smoothing; bandwidth; prediction;All these keywords.
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