On robust local polynomial estimation with long-memory errors

Beran, Jan; Feng, Yuanhua; Ghosh, Sucharita; Sibbertsen, Philipp

On robust local polynomial estimation with long-memory errors

Dateien

dp00_18.pdfGröße: 284.33 KBDownloads: 185

Datum

2000

Autor:innen

Beran, Jan

Feng, Yuanhua

Ghosh, Sucharita

Sibbertsen, Philipp

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

Prediction in time series models with a trend requires reliable estima- tion of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if least squares regression is used. In this paper, local polynomial smoothing based on M

Fachgebiet (DDC)

330 Wirtschaft

Zitieren

ISO 690

BERAN, Jan, Yuanhua FENG, Sucharita GHOSH, Philipp SIBBERTSEN, 2000. On robust local polynomial estimation with long-memory errors

BibTex

@techreport{Beran2000robus-525,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={On robust local polynomial estimation with long-memory errors},
  number={2000/18},
  author={Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita and Sibbertsen, Philipp}
}

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Universitätsbibliographie

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