Understanding Exponential Smoothing Via Kernel Regression

DOI10.1111/1467-9868.00161MaRDI QIDQ4238687zbMATH OpenOpenAlexFDO

Authors

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

nonparametric regressioncross-validationkernel smoothingbandwidth selectionlocal polynomiallimiting distributiondependent errors regression

Mathematics Subject Classification ID

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

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(14)

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• Localized mixture models for prediction with application
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• Nonparametric volatility prediction
• Robustness of one-sided cross-validation to autocorrelation
• THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE
• Top-down or bottom-up forecasting?
• Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
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• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• scientific article; zbMATH DE number 849066 (Why is no real title available?)

Describes a project that uses

Uses Software

• KernSmooth

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