Understanding Exponential Smoothing Via Kernel Regression

DOI10.1111/1467-9868.00161zbMath0913.62040OpenAlexW2000412346MaRDI QIDQ4238687

No author found.

Publication date: 10 June 1999

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00161

zbMATH Keywords

kernel smoothingcross-validationlimiting distributionbandwidth selectionnonparametric regressionlocal polynomialdependent errors regression

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (8)

Localized mixture models for prediction with application ⋮ Non‐parametric smoothing and prediction for nonlinear circular time series ⋮ THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE ⋮ Robustness of one-sided cross-validation to autocorrelation ⋮ NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH ⋮ Disentangling systematic and idiosyncratic dynamics in panels of volatility measures ⋮ Top-down or bottom-up forecasting? ⋮ Local linear extrapolation

Uses Software

• KernSmooth

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