Collomb, Gérard; Härdle, Wolfgang - In: Stochastic Processes and their Applications 23 (1986) 1, pp. 77-89
Let be a strictly stationary real valued time series. We predict ZN + 1 from {Z1,...ZN} by a robust nonparametric method. The predictor is defined by the kernel method and constructed as a functional M-estimate connected with the conditional law of Zp+1 on Z1,...,Zp, when is Markovian of order...