On trend estimation of time-series: a simple linear programming approach

DOI10.1057/PALGRAVE.JORS.2600328MaRDI QIDQ4345522zbMATH OpenOpenAlexFDO

Authors Adi Raveh, Gur Mosheiov

Publication date 23 July 1997

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/palgrave.jors.2600328

zbMATH Keywords

linear programming solutionmultiple criteriatime-seriestrend estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear programming (90C05) Applications of mathematical programming (90C90) Economic time series analysis (91B84)

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Cited in

(4)

• Profile least squares estimation of a partially linear time trend model with weakly dependent data
• Mean-square trend
• $\ell_1$ Trend Filtering
• Trend estimation of multivariate time series with controlled smoothness

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