The paper concerns real time estimation of the underlying trend of a time series by means of filters that arise from fitting a local polynomial of a given degree with a constant bandwidth. The direct asymmetric filters that arise by fitting a local polynomial at the boundaries are analysed and a new class of real time filters is developed.

Local polynomial regression in real time

LUATI, ALESSANDRA
2007

Abstract

The paper concerns real time estimation of the underlying trend of a time series by means of filters that arise from fitting a local polynomial of a given degree with a constant bandwidth. The direct asymmetric filters that arise by fitting a local polynomial at the boundaries are analysed and a new class of real time filters is developed.
2007
Proceedings of the 2007 intermediate conference of the Italian Statistical Society, Risk and Prediction
233
244
T. Proietti; A. Luati
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/54647
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