Trend estimation of multivariate time series with controlled smoothness

DOI10.1080/03610926.2015.1133826MaRDI QIDQ5349196zbMATH OpenOpenAlexFDO

Authors Victor M. Guerrero, Alejandro Islas-Camargo, L. Leticia Ramirez-Ramirez

Publication date 23 August 2017

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

Full work available at URL https://doi.org/10.1080/03610926.2015.1133826

zbMATH Keywords

simulationsmoothness indexsignal extractionpenalized least squaresgeneralized least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

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(6)

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• A control function approach for testing the usefulness of trending variables in forecast models and linear regression
• Trend estimation of financial time series
• Superefficient estimation of multivariate trend.
• Time series smoothing by penalized least squares

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