Prediction of nonlinear time series by kernel regression smoothing
Svetlana Borovkova, Robert Main Burton, Herold Dehling · University of Groningen research database (University of Groningen / Centre for Information Technology) · 1997
We address the problem of prediction of nonlinear time series by kernel estimation of autoregression, and introduce a variation of this method. We apply this method to an experimental time series and compare its performance with predictions by feed-forward neural networks as well as with fitting a local and a global linear autoregression.