Robust non-parametric smoothing of non-stationary time series

DOI10.1080/00949650701786390MaRDI QIDQ3636778zbMATH OpenOpenAlexFDO

Authors Carlo Grillenzoni

Publication date 29 June 2009

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650701786390

zbMATH Keywords

additive outlierscross-validationfinancial datakernel regressionlocal polynomialsM-estimationstructural changes

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Adaptive \(M\)-estimation in nonparametric regression
• Bandwidth selection in robust smoothing
• Cross-validation in nonparametric regression with outliers
• Edge-Preserving Smoothers for Image Processing
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• Local polynomial \(M\)-smoothers in nonparametric regression
• M-Smoother with local Linear Fit
• On consistency of redescending M-kernel smoothers
• Recursive Generalized M-Estimators of System Parameters
• Repeated median and hybrid filters
• Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Robust plug-in bandwidth estimators in nonparametric regression
• Robust Statistics
• Robust Statistics
• The L 1 Method for Robust Nonparametric Regression

Cited in

(10)

• Local M-estimator for nonparametric time series.
• Evaluation of recursive detection methods for turning points in financial time series
• Tests based on simplicial depth for AR(1) models with explosion
• scientific article; zbMATH DE number 3886832 (Why is no real title available?)
• Smoothing non-stationary time series using the discrete cosine transform
• Smoothing time-series data by nonmetric polytone curves
• SOME THEORY ON M-SMOOTHING OF TIME SERIES
• A synthesis of statistical and deterministic methods in problem of smoothing for time series
• Robust continuous-time smoothers without two-sided stochastic integrals
• Sequential smoothing for turning point detection with application to financial decisions

Describes a project that uses

Uses Software

• robustbase

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