Predictive Inference for Locally Stationary Time Series With an Application to Climate Data
局部平稳时间序列的预测推断及气候数据应用
The model-free prediction principle of Politis has been successfully applied to general regression problems, as well as problems involving stationary time series. However, with long time series, for example, annual temperature measurements spanning over 100 years or daily financial returns spanning several years, it may be unrealistic to assume stationarity throughout the span of the dataset. In this article, we show how model-free prediction can be applied to handle time…