J.G. de Gooijer
D. Zerom Godefay
- Mean squared error properties of the kernel-based multi-stage median predictor for time series
- Statistics & Probability Letters
- Pages (from-to)
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- We propose a kernel-based multi-stage conditional median predictor for -mixing time series of Markovian structure. Mean squared error properties of single-stage and multi-stage conditional medians are derived and discussed.
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