Estimating the Conditional Mean of a Non-linear Time Series Using Neural Networks

摘要

In this paper a method is described for using neural networks to estimate the conditional mean of a non linear time series. Assuming a non constant conditional variance, the procedure allows to consider directly its estimation. The performance of the proposed approach is evaluated. A comparison with the standard technique is also presented using simulated data sets and financial time series representing daily prices of equities from the Italian stock market.