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• W2105963639 abstract "Abstract. We consider nonparametric prediction problem for both short- and long-range-dependent linear processes. Asymptotic properties of local linear estimates are obtained and, for long-range-dependent processes, an interesting dichotomous phenomenon is described: the limiting distribution depends on the interplay between the strength of the dependence and the magnitude of the bandwidth. A simulation study is carried out to assess the performance of the nonparametric prediction estimator." @default.
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• W2105963639 date "2009-11-01" @default.
• W2105963639 modified "2023-09-28" @default.
• W2105963639 title "On nonparametric prediction of linear processes" @default.
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• W2105963639 doi "https://doi.org/10.1111/j.1467-9892.2009.00632.x" @default.
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