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An iterative plug-in algorithm for nonparametric modelling of seasonal time series

An iterative plug-in algorithm for nonparametric modelling of seasonal time series

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FENG, Yuanhua, 2002. An iterative plug-in algorithm for nonparametric modelling of seasonal time series

@techreport{Feng2002itera-519, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={An iterative plug-in algorithm for nonparametric modelling of seasonal time series}, year={2002}, number={2002/04}, author={Feng, Yuanhua} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/519"> <dc:contributor>Feng, Yuanhua</dc:contributor> <dc:rights>deposit-license</dc:rights> <dc:creator>Feng, Yuanhua</dc:creator> <dcterms:issued>2002</dcterms:issued> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:53Z</dcterms:available> <dc:format>application/pdf</dc:format> <dc:language>eng</dc:language> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:53Z</dc:date> <dcterms:title>An iterative plug-in algorithm for nonparametric modelling of seasonal time series</dcterms:title> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/519"/> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dcterms:abstract xml:lang="eng">This paper focuses on developing a new data-driven procedure for decomposing seasonal time series based on local regression. Formula of the asymptotic optimal bandwidth hA in the current context is given. Methods for estimating the unknowns in hA are investigated. A data-driven algorithm for decomposing seasonal time series is proposed based on the iterative plug-in idea introduced by Gasser et al. (1991). Asymptotic behaviour of this algorithm is investigated. Some computational aspects are discussed in detail. Practical performance of the proposed algorithm is illustrated by simulated and data examples. The results here also provide some insights into the iterative plug-in idea.</dcterms:abstract> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

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