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Finite sample performance is assessed in a Monte Carlo study that also compares our algorithm to a rival nonparametric method based on the infinite<jats:inline-formula><jats:alternatives><jats:inline-graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" mime-subtype=\"png\" xlink:href=\"S0266466622000226_inline1.png\"\/><jats:tex-math>$AR$<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>representation of the dynamics of the data. Finally, we apply our methodology to predict house prices in Los Angeles.<\/jats:p>","DOI":"10.1017\/s0266466622000226","type":"journal-article","created":{"date-parts":[[2022,5,23]],"date-time":"2022-05-23T09:51:18Z","timestamp":1653299478000},"page":"950-988","source":"Crossref","is-referenced-by-count":3,"title":["NONPARAMETRIC PREDICTION WITH SPATIAL DATA"],"prefix":"10.1017","volume":"39","author":[{"given":"Abhimanyu","family":"Gupta","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Javier","family":"Hidalgo","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2022,5,23]]},"reference":[{"key":"S0266466622000226_r31","doi-asserted-by":"publisher","DOI":"10.1016\/0047-259X(86)90092-8"},{"key":"S0266466622000226_r37","doi-asserted-by":"publisher","DOI":"10.1214\/13-AOS1180"},{"key":"S0266466622000226_r18","doi-asserted-by":"publisher","DOI":"10.1023\/A:1023204525046"},{"key":"S0266466622000226_r23","doi-asserted-by":"publisher","DOI":"10.2307\/622202"},{"key":"S0266466622000226_r8","first-page":"224","article-title":"Linear prediction by autoregressive model fitting in the time domain","volume":"60","author":"Bhansali","year":"1978","journal-title":"Annals of Statistics"},{"key":"S0266466622000226_r14","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1999.10473885"},{"key":"S0266466622000226_r10","volume-title":"Time Series: Data Analysis and Theory","author":"Brillinger","year":"1981"},{"key":"S0266466622000226_r16","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/74.4.877"},{"key":"S0266466622000226_r6","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466614000814"},{"key":"S0266466622000226_r42","doi-asserted-by":"publisher","DOI":"10.1016\/j.jspi.2006.06.021"},{"key":"S0266466622000226_r44","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2005.05.013"},{"key":"S0266466622000226_r43","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.05.002"},{"key":"S0266466622000226_r9","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1013699987"},{"key":"S0266466622000226_r22","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/69.1.95"},{"key":"S0266466622000226_r38","doi-asserted-by":"publisher","DOI":"10.1017\/S002185960000160X"},{"key":"S0266466622000226_r4","doi-asserted-by":"crossref","first-page":"192","DOI":"10.1111\/j.2517-6161.1974.tb00999.x","article-title":"Spatial interaction and the statistical analysis of lattice systems","volume":"36","author":"Besag","year":"1974","journal-title":"Journal of the Royal Statistical Society: Series B"},{"key":"S0266466622000226_r47","doi-asserted-by":"publisher","DOI":"10.1109\/TIT.1986.1057241"},{"key":"S0266466622000226_r35","doi-asserted-by":"publisher","DOI":"10.3176\/proc.2009.2.03"},{"key":"S0266466622000226_r7","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1111\/j.2517-6161.1974.tb00986.x","article-title":"Asymptotic properties of the Wiener\u2013Kolmogorov predictor. 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