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de Gooijer, Jan G.
Gannoun, Ali
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 99-063/4
Motivated by the problem of setting prediction intervals in time seriesanalysis, this investigation is concerned with recovering a regression functionm(X_t) on the basis of noisy observations taking at random design pointsX_t.It is presumed that the corresponding observations are corrupted by additiveserially correlated noise and that the noise is, in fact, induced by a generallinear process. The main result of this study is that, under some reasonableconditions, the nonparametric kernel estimator of m(x)(/i) is asymptoticallynormally distributed. Using this result, we construct confidence bands form(x).Simulations will be conducted to assess the performance of these bands infinite-sample situations
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Working Paper

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