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Nonparametric density forecast based on time‐ and state‐domain
Author(s) -
Nicolau João
Publication year - 2011
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.1204
Subject(s) - nonparametric statistics , smoothing , domain (mathematical analysis) , econometrics , computer science , state (computer science) , time domain , statistics , mathematics , algorithm , mathematical analysis , computer vision
We propose a new nonparametric density forecast based on time‐ and state‐domain smoothing. We analyze some of its asymptotic properties and provide an empirical illustration. Copyright © 2010 John Wiley & Sons, Ltd.