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• W3102639726 abstract "Conditional expectations given past observations in stationary time series are usually estimated directly by kernel estimators, or by plugging in kernel estimators for transition densities. We show that, for linear and nonlinear autoregressive models driven by independent innovations, appropriate smoothed and weighted von Mises statistics of residuals estimate conditional expectations at better parametric rates and are asymptotically efficient. The proof is based on a uniform stochastic expansion for smoothed and weighted von Mises processes of residuals. We consider, in particular, estimation of conditional distribution functions and of conditional quantile functions." @default.
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• W3102639726 date "2006-10-01" @default.
• W3102639726 modified "2023-09-26" @default.
• W3102639726 title "Efficient prediction for linear and nonlinear autoregressive models" @default.
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• W3102639726 doi "https://doi.org/10.1214/009053606000000812" @default.
• W3102639726 hasPublicationYear "2006" @default.
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