Jump process for the trend estimation of time series
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Publication:951862
DOI10.1016/S0167-9473(02)00125-1zbMath1429.62418MaRDI QIDQ951862
Publication date: 4 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00125-1
time series; nonparametric regression; Gaussian kernel; jump process; trend estimation; smoothness-fidelity tradeoff; weighted average form
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60J74: Jump processes on discrete state spaces
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