Jump process for the trend estimation of time series

DOI10.1016/S0167-9473(02)00125-1zbMath1429.62418OpenAlexW2162189228MaRDI QIDQ951862

Shan Zhao, Guo-Wei Wei

Publication date: 4 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00125-1

zbMATH Keywords

time seriesnonparametric regressionGaussian kerneljump processtrend estimationsmoothness-fidelity tradeoffweighted average form

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Jump processes on discrete state spaces (60J74)

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