Jump process for the trend estimation of time series

DOI10.1016/S0167-9473(02)00125-1MaRDI QIDQ951862zbMATH OpenOpenAlexFDO

Authors Shan Zhao, G. W. Wei

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

zbMATH Keywords

Gaussian kerneljump processnonparametric regressionsmoothness-fidelity tradeofftime seriestrend estimationweighted average form

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• On the robust detection of edges in time series filtering
• Estimating a parametric trend component in a continuous-time jump-type process
• Partial differential equation transform -- variational formulation and Fourier analysis

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