Time series smoothing by penalized least squares

DOI10.1016/J.SPL.2007.03.006zbMath1115.62085OpenAlexW2070862609MaRDI QIDQ144387

Victor M. Guerrero, Victor M. Guerrero

Publication date: July 2007

Published in: Statistics & Probability Letters, Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.03.006

zbMATH Keywords

mean square errorunobserved componentssmoothness index

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Trend smoothness achieved by penalized least squares with the smoothing parameter chosen by optimality criteria ⋮ Penalized least squares smoothing of two-dimensional mortality tables with imposed smoothness ⋮ Effect of autocorrelation when estimating the trend of a time series via penalized least squares with controlled smoothness ⋮ Smoothing a Time Series by Segments of the Data Range ⋮ TSsmoothing ⋮ Trend estimation of financial time series

Cites Work

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• Signal extraction from nonstationary time series
• Low frequency filtering and real business cycles
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• On the Use of Incomplete Prior Information in Regression Analysis
• Estimating Trends in Weather Series: Consequences for Pricing Derivatives
• Data graduation based on statistical time series methods

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