Browsing by Subject "Cross-validation"

Now showing items 1-2 of 2

    • Article  

      Model-free model-fitting and predictive distributions 

      Politis, Dimitris Nicolas (2013)
      The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. ...
    • Article  

      Normalized least-squares estimation in time-varying arch models 

      Fryzlewicz, P.; Sapatinas, Theofanis; Subba Rao, S. (2008)
      We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants ...