Smoothing Time Series with Local Polynomial Regression on Time

DOI10.1080/03610920701693843MaRDI QIDQ3499080zbMATH OpenOpenAlexFDO

Authors Johannes Ledolter

Publication date 19 May 2008

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

Full work available at URL https://doi.org/10.1080/03610920701693843

zbMATH Keywords

weighted least squarestime series smoothingstructural time series modeltrend model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 4054857 (Why is no real title available?)
• scientific article; zbMATH DE number 48318 (Why is no real title available?)
• Computing observation weights for signal extraction and filtering
• Forecast Functions Implied by Autoregressive Integrated Moving Average Models and Other Related Forecast Procedures
• Local Regression and Likelihood
• Signal extraction and the formulation of unobserved components models
• Smoothing and Interpolation with the State-Space Model
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Stochastic processes and filtering theory

Cited in

(3)

• A Polynomial Approach to Bias Aware Fixed-Lag Smoothing Problem
• Variance stabilizing filters^#
• W.F. Sheppard's Smoothing Method: A Precursor to Local Polynomial Regression

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