Simultaneous confidence bands for time-series prediction function

  • Li Wanga, Lijian Yangb
  • Published 2010
Although many types of confidence bands exist for nonparametric regression with i.i.d. data, theoretical properties of such bands have never been established under dependence. We propose simultaneous confidence bands for nonparametric prediction function of time-series data using spline estimation. Asymptotic properties are established under the assumption… (More)