Functional methods for time series prediction: a nonparametric approach

Germán Aneiros · Ricardo Cao · Juan Manuel Vilar Fernández

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Forecasting Techniques and Applications Advanced Statistical Methods and Models Time Series Analysis and Forecasting

Abstract

Abstract 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 finite‐dimensional nonparametric predictors for several real‐time series. Prediction intervals based on the bootstrap and conditional distribution estimation for those nonparametric methods are also compared. Copyright © 2010 John Wiley & Sons, Ltd.

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1977Time Series Analysis: Forecasting and Control 1977Time Series Analysis: Forecasting and Control 1993Forecasting methods and applications 1979Forecasting: Methods and Applications.1995Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality 1990Bootstrap Prediction Intervals for Autoregression 1998Nonparametric vector autoregression 1995IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS

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