Strongly consistent nonparametric forecasting and regression for stationary ergodic sequences.
Sidney YakowitzLászló GyörfiJohn C. KiefferGusztáv MorvaiPublished in: CoRR (2007)
Keyphrases
- support vector regression
- nonparametric regression
- regression model
- hidden markov models
- data driven
- non stationary
- markov process
- short term
- model selection
- markov chain
- forecasting accuracy
- sequential patterns
- learning algorithm
- change point detection
- support vector
- locally weighted
- exchange rate
- sequence alignment
- bayesian modeling
- long sequences
- ridge regression
- generalized regression neural network
- financial time series
- stationary distribution
- regression problems
- sequential data
- parametric models
- hybrid model
- density estimation
- linear regression
- dynamic programming