Jfon parametric time series analysis and prediction: uniform almost sure convergence of the window and jt-nn autoregression estimates
- 1 January 1985
- journal article
- research article
- Published by Taylor & Francis in Statistics
- Vol. 16 (2) , 297-307
- https://doi.org/10.1080/02331888508801858
Abstract
Let be a strictly stationary process which is valued in a compact of Rp1 and q, s be two positive integers. The autoregression function is estimated from {Z1,…ZN} by the classical window and nearest neighbour regres¬sion estimates, For such an estimate Rn we obtain the uniform almost sure convergence property, leading to the almost sure convergence towards 0 of the prediction error in the problem of the prediction of Zn+s form {Zt,…ZN} when is a q-markovian process These results are proved in the (french written) papers of reference COLLOMB (1982b,1982c).Keywords
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