Robust non-parametric smoothing of non-stationary time series

DOI10.1080/00949650701786390zbMath1169.62075OpenAlexW2098870455MaRDI QIDQ3636778

Carlo Grillenzoni

Publication date: 29 June 2009

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650701786390

zbMATH Keywords

kernel regressioncross-validationadditive outliersM-estimationstructural changeslocal polynomialsfinancial data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diagnostics, and linear inference and regression (62J20)

Related Items (2)

Evaluation of Recursive Detection Methods for Turning Points in Financial Time Series ⋮ Tests Based on Simplicial Depth for AR(1) Models With Explosion

Uses Software

• robustbase

Cites Work

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• Recursive Generalized M-Estimators of System Parameters
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