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Diffusion process
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Local linear model
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Multi-step ahead forecasting
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Shoji, Isao
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Physica A: Statistical Mechanics and its Applications
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A nonparametric method of multi-step ahead forecasting in diffusion processes
Yamamura, Mariko
;
Shoji, Isao
- In:
Physica A: Statistical Mechanics and its Applications
389
(
2010
)
12
,
pp. 2408-2415
constructed from the
local
linear
model
with the Gaussian kernel. The paper provides simulation studies to evaluate its …
Persistent link: https://www.econbiz.de/10010590418
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