کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1149942 | 957904 | 2008 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Prediction in moving average processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
For the stationary invertible moving average process of order one with unknown innovation distribution F, we construct root-n consistent plug-in estimators of conditional expectations E(h(Xn+1)|X1,â¦,Xn). More specifically, we give weak conditions under which such estimators admit Bahadur-type representations, assuming some smoothness of h or of F. For fixed h it suffices that h is locally of bounded variation and locally Lipschitz in L2(F), and that the convolution of h and F is continuously differentiable. A uniform representation for the plug-in estimator of the conditional distribution function P(Xn+1⩽·|X1,â¦,Xn) holds if F has a uniformly continuous density. For a smoothed version of our estimator, the Bahadur representation holds uniformly over each class of functions h that have an appropriate envelope and whose shifts are F-Donsker, assuming some smoothness of F. The proofs use empirical process arguments.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 138, Issue 3, 1 March 2008, Pages 694-707
Journal: Journal of Statistical Planning and Inference - Volume 138, Issue 3, 1 March 2008, Pages 694-707
نویسندگان
Anton Schick, Wolfgang Wefelmeyer,