Time series smoothing by penalized least squares

DOI10.1016/J.SPL.2007.03.006MaRDI QIDQ144387zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3727971 (Why is no real title available?)
• scientific article; zbMATH DE number 45848 (Why is no real title available?)
• Data graduation based on statistical time series methods
• Estimating Trends in Weather Series: Consequences for Pricing Derivatives
• Low frequency filtering and real business cycles
• Measuring business cycles in economic time series
• On the Use of Incomplete Prior Information in Regression Analysis
• Signal extraction from nonstationary 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

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(17)

• Thick Pen Transformation for Time Series
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• scientific article; zbMATH DE number 5260665 (Why is no real title available?)
• 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 a time series by segments of the data range
• Trend estimation of multivariate time series with controlled smoothness
• Smoothing Time Series with Local Polynomial Regression on Time
• Penalized least squares smoothing of two-dimensional mortality tables with imposed smoothness
• scientific article; zbMATH DE number 5280153 (Why is no real title available?)
• SOME THEORY ON M-SMOOTHING OF TIME SERIES
• TSsmoothing
• 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
• Smoothing for discrete-valued time series
• scientific article; zbMATH DE number 5211504 (Why is no real title available?)

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