Smoothing Time Series with Local Polynomial Regression on Time

DOI10.1080/03610920701693843zbMATH Open1135.62070OpenAlexW2021592125MaRDI QIDQ3499080FDOQ3499080

Johannes Ledolter

Publication date: 19 May 2008

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701693843

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zbMATH Keywords

weighted least squarestime series smoothingstructural time series modeltrend model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Stochastic processes and filtering theory
• Title not available (Why is that?)
• Local Regression and Likelihood
• Title not available (Why is that?)
• Signal extraction and the formulation of unobserved components models
• Smoothing and Interpolation with the State-Space Model
• Title not available (Why is that?)
• Computing observation weights for signal extraction and filtering
• Forecast Functions Implied by Autoregressive Integrated Moving Average Models and Other Related Forecast Procedures

Cited In (3)

• A Polynomial Approach to Bias Aware Fixed-Lag Smoothing Problem
• Variance stabilizing filters^#
• W.F. Sheppard's Smoothing Method: A Precursor to Local Polynomial Regression

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