Publikation: Prediction of 0-1-events for short- and long-memory time series
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2002
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Working Paper/Technical Report
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Zusammenfassung
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.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
0-1-events, long-range dependence, short-range dependence, antipersistence, kernel smoothing, bandwidth, prediction
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BERAN, Jan, 2002. Prediction of 0-1-events for short- and long-memory time seriesBibTex
@techreport{Beran2002Predi-756, year={2002}, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Prediction of 0-1-events for short- and long-memory time series}, number={2002/11}, author={Beran, Jan} }
RDF
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