Trend estimation of multivariate time series with controlled smoothness

DOI10.1080/03610926.2015.1133826zbMath1391.62170OpenAlexW2464530609MaRDI QIDQ5349196

L. Leticia Ramirez-Ramirez, Alejandro Islas-Camargo, Victor M. Guerrero

Publication date: 23 August 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1133826

zbMATH Keywords

simulationgeneralized least squaressignal extractionpenalized least squaressmoothness index

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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