Time series smoothing by penalized least squares

DOI10.1016/J.SPL.2007.03.006zbMATH Open1115.62085OpenAlexW2070862609MaRDI QIDQ144387FDOQ144387

Authors: Victor M. Guerrero, Victor M. Guerrero 

Publication date: July 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.03.006

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zbMATH Keywords

mean square errorsmoothness indexunobserved components

Mathematics Subject Classification ID

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

Cites Work

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• Low frequency filtering and real business cycles
• Measuring business cycles in economic time series
• Smoothness priors analysis of time series
• The Hodrick-Prescott filter, a generalization, and a new procedure for extracting an empirical cycle from a series
• Title not available (Why is that?)
• On the Use of Incomplete Prior Information in Regression Analysis
• Estimating Trends in Weather Series: Consequences for Pricing Derivatives
• Data graduation based on statistical time series methods
• Signal extraction from nonstationary time series

Cited In (16)

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• Smoothing time-series data by nonmetric polytone curves
• Effect of autocorrelation when estimating the trend of a time series via penalized least squares with controlled smoothness
• Smoothing Time Series with Local Polynomial Regression on Time
• Penalized least squares smoothing of two-dimensional mortality tables with imposed smoothness
• Title not available (Why is that?)
• Smoothing a Time Series by Segments of the Data Range
• SOME THEORY ON M-SMOOTHING OF TIME SERIES
• The smoothness criterion as a trend diagnostic
• Trend smoothness achieved by penalized least squares with the smoothing parameter chosen by optimality criteria
• Trend estimation of financial time series
• TSsmoothing
• Title not available (Why is that?)
• Smoothing for discrete-valued time series

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