Autor(en): | Dette, Holger Wu, Weichi |
Titel: | Prediction in locally stationary time series |
Sprache (ISO): | en |
Zusammenfassung: | We develop an estimator for the high-dimensional covariance matrix of a locally stationary process with a smoothly varying trend and use this statistic to derive consistent predictors in non-stationary time series. In contrast to the currently available methods for this problem the predictor developed here does not rely on fitting an autoregressive model and does not require a vanishing trend. The finite sample properties of the new methodology are illustrated by means of a simulation study and a data example. |
Schlagwörter: | locally stationary time series high dimensional auto-covariance matrices prediction local linear regression |
URI: | http://hdl.handle.net/2003/38530 http://dx.doi.org/10.17877/DE290R-20449 |
Erscheinungsdatum: | 2020 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_0120_SFB823_Dette_Wu.pdf | DNB | 542.89 kB | Adobe PDF | Öffnen/Anzeigen |
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