References
- Akaike , H. 1974 . Markovian representation of stochastic process and its ap¬plication to the analysis of autoregressive moving average process . Annals of the Institute of Statistical Mathematics , 26 : 363 – 387 .
- Auestad , B. and Tj0stheim , D. 1990 . Identification of nonlinear time series: first order characterization and order determination . Biometrika , 77 : 669 – 687 .
- Azzalini , A. and Bowman , A.W. 1990 . A look at some data on the Old Faithful geyser . Applied Statistics , 39 : 357 – 365 .
- Box , G.E.P. and Jenkins , G.M. 1976 . Time Series Analysis: Forecasting and Control , San Francisco : Holden-Day .
- Carbon , M. and Delecroix , M. 1993 . Nonparametric vs parametric fore¬casting in time series: a computational point of view . Applied Stochastic Models and Data Analysis , 9 : 215 – 229 .
- CoUomb , G. 1984 . Proprietes de convergence presque complete du predicteur a noyau . Zeitschrift fur Wahrscheinlichkeitstheorie , 66 : 441 – 460 .
- Collomb , G. , Hardle , W. and Hassani , S. 1987 . A note on prediction via estimation of the conditional mode function . Journal of Statistical Planning and Inference , 15 : 227 – 236 .
- Deheuvels , P. 1977 . Estimation non parametrique de la densite par his-togramme generalise . Revue de Statistique Appliquie , 35 : 5 – 42 .
- Doukhan , P. 1994 . Mixing: Properties and Examples , New York : Springer-Verlag .
- Gannoun , A. 1990 . Estimation non parametrique de la mediane condition-nelle: meoUanogramme et methode du noyau . Publication de Tlnstitut de Statistique de rUniversite de Paris, XXXXV , : 11 – 22 .
- Gannoun , A. 1991 . Prediction non parametrique: medianogramme et methode du noyau en estimation de la mediane conditionnelle . Statistique et Analyse des Donnees , 16 : 23 – 42 .
- Gourieroux , C. and Monfort , A. 1990 . Siries Temporelles et Modeles Dy~ namiques , Paris : Economica .
- Gyorfi , L. , Hardle , W. , Sarda , P. and Vieu , P. 1989 . Nonparametric Curve Estimation from Time Series , New York : Springer-Verlag .
- Hardle , W. and Vieu , P. 1992 . Kernel regression smoothing of time series . Journal of Time Series Analysis , 13 : 209 – 232 .
- Hyndman , R. j. 1995 . Highest-density forecast regions for non-linear and non-normal time series models . Journal of Forecasting , 14 : 431 – 441 .
- Ibragimov , La and Rozanov , Y. 1974 . Independent Stationary Sequences of Random Variables , Wolters-Noordhof : Groningen .
- Makridakis , S. , Andersen , A. , Carbone , R. , Fildes , R. , Hibon , M. , Lewandowski , R. , Newton , J. , Parzen , E. and Winkler , R. 1984 . The Forecasting Accu¬racy of Major Time Series Methods , New York : Wiley .
- Nadaraya , E.A. 1964 . On estimating regression . Theory Probability and their Applications , 9 : 134 – 137 .
- Pankratz , A. 1991 . Forecasting with Dynamic Regression Models , New York : Wiley .
- Pham , T.D. 1985 . Bilinear Markovian representation and bilinear models . Stochastic Processes and their Applications , 20 : 295 – 306 .
- Pham , T.D. and Tran , L.T. 1985 . Some strong mixing properties of time series models . Stochastic Processes and their Applications , 19 : 297 – 303 .
- Scott , D.W. 1992 . Multivariate Density Estimation , New York : Wiley .
- Stone , C. 1982 . Optimal global rates of convergence in nonparametric regression . The Annals of Statistics , 10 : 1040 – 1053 .
- Watson , G.S. 1964 . Smooth regression analysis . Sankhya , 26 : 359 – 372 .
- Weisberg , S. 1985 . Applied Linear Regression , New York : Wiley .
- Yakowitz , S.J. 1985 . Nonparametric density estimation, prediction, and regression for Markov sequences . Journal of the American Statistical As¬sociation , 80 : 215 – 221 .